Collection and preparation of the required data from participating banks and vendors – identification of data issues, suggestion of data quality improvements, coordination of resubmissions
Re-calibration of the SIMM parameters reflecting SIMM enhancements as well as updated market data: Risk weights, Correlations, Historical Volatility Ratios, Concentration Thresholds
Creation of an updated SIMM unit test and assessment of results, identification of test failures and interactions with participating banks to explain/solve issues
Perform, optimize and automate SIMM backtesting which compares SIMM results with P&L vectors over 10y history of banks’ data, and the SIMM benchmarking. Interact with participating banks to explain/solve issues
Required Skills and Knowledge
Demonstrable knowledge and experience of derivatives markets and global regulatory capital frameworks. In particular, experience of the SIMM, and knowledge of bank’s margining frameworks.
Advanced analytical and quantitative skills, excellent communication skills
Advanced coding skills in Python, good knowledge of Excel VBA, Git.
A self-starter who is strongly motivated, proactive team player, exercises effective judgment and able to develop the Analytics function’s as well as own capabilities
Relevant experience in comparably complex technical roles, proven ability to conduct complex quantitative analyses and present results to diverse audiences
Relevant experience in derivatives risk management and financial regulation.
Qualifications in quantitative finance are required to at least Masters level, or the equivalent professional qualification.