Quantitative Analyst - DIM Quantitative Analyst - DIM …

in London, England, United Kingdom
Permanent, Full time
Last application, 25 Mar 20
in London, England, United Kingdom
Permanent, Full time
Last application, 25 Mar 20
Quanteam UK is working with a major British Investment Bank within their Global Risk Transformation function. Our client would like to bring onboard an experienced Quantitative Analyst with Dynamic Initial Margin (DIM) background.


Quanteam Group is a Consulting firm specialised in the Capital Markets industry, in Paris, London, Brussels, New York and North Africa. Since 2007, our 800 consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers and Insurance Companies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.


Our client is seeking for a Quantitative Analyst consultant to be fully involve in designing, implementing and documenting the Dynamic Initial Margin (DIM) Model.

Key Responsibilities

  • Ability to design and implement a model that addresses business requirements
  • Ability to design and implement a model validation framework that assess model adequacy
  • Ability to effective document the model following given standards
  • Understanding of regulatory requirements means the business is forewarned of changes in the regulation and can prepare accordingly.
  • Understanding of mathematical concepts behind CCR and Collateral models already implemented
  • Ability to navigate through the existing analytical modules of CCR Aggregation and Collateral libraries
  • Effective communication with the GRA team at both Regional and Group levels ensures there is a strong common understanding of the models and that best practices are being applied.
  • Providing bespoke analysis for new business helps ensure that the business can make appropriate risk/capital assessments.

Profile required

  • At least 10 years of experience in CCR/XVA/Pricing Quantitative Analytics team. Having been personally involved in building simulation (Monte Carlo scenario generation) models and developing simulation solution
  • Ideally previously involved in successful DIM implementation for IMM (and/or good to have DIM implementation for MVA)
  • Previously involved or familiar with CCR back testing 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 IM)
  • Clear and demonstrable familiarity key risk measures such as MVA, CVA, EPE, PFE.
  • Minimum Masters level in Math/Computer Science/Engineering discipline
  • Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
  • Developer with demonstrable experience in python/JAVA/C++
  • Open personality and effective communication skills, ability and flexibility to work in an international team
  • Ability to write clear and understandable documents