Excellent opportunity for a Quant Analyst for fully designing, calibrating, and validating the adequate Collateral Risk Model, including margin (Dynamic Initial Margin) within IMM.
This is a role for fully designing, calibrating, and validating the adequate Collateral Risk Model, including margin (Dynamic Initial Margin) within IMM.
- CCR/IMM modelling experience
- CCR/XVA/Pricing Quantitative Analytics team. Having been personally involved in building simulation models. Key risk measures such as EEPE, PFE and XVAs
- Margin Algorithm, Collateral Risk, Dynamic Initial Margin. Key risk measures: MVA
- Validation of CCR/IMM. Backtesting of CCR models.
- Margining modelling experience:
- Initial Margin models like ISDA SIMM, and other Initial Margin computation (as CCP IM).
- Validation of margin models. Backtesting of margin models
- Ability to lead on an IMM regulatory submission for DIM involving:
- Design and implementation of a model that addresses business requirements
- Design and implementation a model validation framework that assess model adequacy
- Documentation of the model following given standards
- Understanding of regulatory requirements and prepare accordingly.
- Effective communication with the GRA team at both Regional and Group levels ensures there is a strong common understanding of the DIM model and that best practices are being applied.
- Providing bespoke analysis for new business helps ensure that the business can make appropriate risk/capital assessments with regards to DIM modelGeneric skillset:
- Minimum Masters level in Math/Computer Science/Engineering discipline
- Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
- Developer with experience in python
- Ability to lead, coordinate the work of other team members, 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.
- Open personality and effective communication skills, ability to work in an international team
Ability to write clear