Global investment bank seeks VP level Quant Risk Manager responsible for Initial Margin calculations and Initial Margin ongoing performance tests.
The successful candidate will be responsible for Initial Margin calculations and Initial Margin ongoing performance tests. The model used is an internally developed implementation of the ISDA SIMM model, which is sensitivity-based. The role will report directly to the head of the Risk Analytics Group, as head of a new sub-team of Risk Analytics being set up to focus on this area.
The successful candidate will have responsibility for ensuring correct specification of the calculations to the developers working on the upstream systems which provide sensitivity inputs, and on the systems which aggregate sensitivities into Initial Margin calculations. The responsibilities will also cover inclusion of new products into the calculations, and internal coordination of periodic model updates issued by ISDA. The candidate will be expected to follow the relevant industry working group discussions to gain awareness of industry-wide model changes well in advance of the implementation date.
As well as the calculation of the Initial Margin, the role will have responsibility for model performance reporting. This includes various performance tests run over time, with results reported quarterly to internal committees and regulators,
Four or more years' experience within Financial services firm. Prior experience working on ISDA SIMM or on FRTB SA would be ideal but not essential.
SKILLS AND EXPERIENCE
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.