Dynamic Initial Margin Quantitative Analyst - London

Location: London

Salary Range / Rate: 70000-80000£

Job Description

Job ID: 542 January 21, 2020 +44 02030267557

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. Design and implement a model that addresses business requirements. Design and implement a model validation framework that assess model adequacy Effectively document the model following given standards. Understand regulatory requirements pertaining to initial margin to ensure that the business is forewarned of changes in the regulation (e.g. EMIR, CRR and Basel/IOSCO rules) and can prepare accordingly. Understand mathematical concepts behind Counterparty Credit Risk (CCR) and Collateral models already implemented. Navigate through the existing analytical modules of CCR Aggregation and Collateral libraries. Communication with the Global Analytics team at both Regional and Group levels to ensure there is a strong common understanding of the models and that best practices are being applied. Provide bespoke analysis for new business requirements; ensuring that the business can make appropriate risk/capital assessments.

Skills Required:
At least 8-10 years of experience in a CCR/XVA/Pricing Quantitative Analytics team, involved in building simulation (Monte Carlo scenario generation) models and developing simulation solutions. Ideally previously involved in a successful Dynamic Initial Margin (DIM) implementation for IMM (and/or good to have DIM implementation for MVA). Ideally JAVA and python developer. Previously involved or familiar with CCR backtesting for IMM. Ideally previously involved in 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.

Agency Name: Vserve Consultancy

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Location: London,UK

No of Vacancies: 2

Job Sector: IT, Software, Internet, Analytics

Job Type: permanent

Education: Master’s degree in Mathematics, Engineering, Financial Engineering or Computer Science

Experience: 8 - 10

Salary Range / Rate: 70000-80000£

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