Quantitative Analyst – Standard Initial Margin Model

London Posted on Nov 2022

If you can demonstrable knowledge and experience of derivatives markets and global regulatory capital frameworks, this role could be for you.

Role Details:


  • 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.