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Quant Analyst - Dynamic Initial Margin

Posted on Jan 24, 2020 by Sharma Consulting Services Limited

London, United Kingdom
Immediate Start
£90k - £110k Annual

A large multinational global player requires a skilled Quantitative (Quant) Analyst to join their client team in London. The role will provide an exciting opportunity for the right candidate to apply their experience and enhance their skills working with a progressive organisation using the challenges offered to them.

This is a role for fully designing, implementing and documenting the Dynamic Initial Margin (DIM) Model using a Monte Carlo Internal Model Method (IMM) framework.

Mandatory Requirements for this role are;

  • Minimum 8-10 years of experience in a Counterparty Credit Risk (CCR)/XVA/Pricing Quantitative Analytics team, involved in building simulation (Monte Carlo scenario generation) models and developing simulation solutions.
  • Previously involved or familiar with CCR backtesting for IMM.
  • Previously experience of successful regulatory submissions.
  • Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
  • Clear and demonstrable familiarity with ISDA SIMM, and good to have familiarity with other Initial Margin computation (as for instance, CCP Initial Margin using historical simulation VaR approaches).
  • Clear and demonstrable familiarity with key risk measures such as MVA, CVA, EPE, PFE and VaR.
  • Minimum Masters level in Math/Computer Science/Engineering disciplines
  • Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques.
  • Prior experience of working in a highly intense and delivery driven environment.
  • Senior Stakeholder Management experience.

Desirable or Nice to Have Requirements

  • Ideally previously involved in a successful Dynamic Initial Margin (DIM) implementation for IMM (and/or good to have DIM implementation for MVA).
  • Development experience on Java and Python.
  • Previously experience of successful regulatory submissions.
  • Experience working on an onshore and offshore model.

Key Competencies

  • Communication Skills
  • Seeing the Big Picture
  • Effective decision Making
  • Collaborating and Partnering

Key Notes

  • Location: Central London or Canary Wharf but might involve some travel within UK, Europe or elsewhere.
  • Please don't apply if you don't have prior experience of working for a Tier-1 bank or a Financial Services institution.

Reference: 832078938

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