SIMM Quant This is a role responsible for identifying and investigating deficiencies in current Margining models (SIMM); current Collateral management framework (Eligibility criteria, Haircuts, Liquidity Risk) and Collateral modelling within CCR models (Collateral risk, MPoR calculation) due to the IBOR transition.
This is a role responsible for identifying and investigating deficiencies in current Margining models (SIMM); current Collateral management framework (Eligibility criteria, Haircuts, Liquidity Risk) and Collateral modelling within CCR models (Collateral risk, MPoR calculation) due to the IBOR transition.
In line with regulatory requirements and industry standard approaches, the issues should be addressed by developing enhanced methodologies and software/library components for a more accurate risk measurement and management.
This role is responsible for ensure that the quantitative framework of CCPs remains fit per purpose.
Throughout the process, regular inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills.
The core objectives are:
- To review and improve or re-build the existing suite of models and methodologies,
- To drive improvements to the systems and data infrastructure supporting deployment of the models,
- To coordinate projects aimed at aligning methodologies, governance and policies around the Group,
- Keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements
- Engage in industry discussions aimed at informing policy.
Key activities and decision-making areas
- Engagement & collaboration with Risk Transformation for the IBOR program
- Contribute to High Level Requirements for IBOR program
- Review/understand the impacts of proposed FO Models
- Provide inputs to business benefits, scope and objectives
- Review/implement changes into the SIMM is correctly computed
- Ensure that Collateral Risk framework remains fit per purpose
- Ensure that Collateral Risk is correctly captured in the Counterparty Credit Risk systems
- Ensure that CCPs quantitative models are fit per purpose
- Impact analysis on the Counterparty credit Risk figures due to Liquidity Risk
- Ensure that we are aligned with Regulatory requests regarding the IBOR transition
- Impact Analysis on limits, based on industry proposed methodology on terms structure and credit spread and transition timing to new Rates benchmark
- Experience in Traded Risk Analytics
- Understanding of CCR risk, CCP margin models, Margin models, Collateral risk is a plus
- Expert python programming is a plus
- Good knowledge of Markets/Derivatives products
- Quantitative knowledge of pricing models, in particular IR models is a plus
- Ability to interpret complex risk reports from multiple sources and ability to identify key material risks
- Understanding of traded risk regulation and incoming regulatory directives
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.