Save JobEmail job Back to Search Job Description Summary Similar Jobspythonquantatative riskAbout Our ClientA derivatives business.Job DescriptionPlay an active role in the firms in-house analytics capabilities to provide relevant analysis instrumental to the maintenance and management of the programme. This includes producing and coordinating analysis supporting the ongoing maintenance cycle: recalibration and validation, backtesting and benchmarking, as well as implementation, optimisation and maintenance of the necessary systems to conduct the following key steps of the maintenance cycle:1. Implementation of SIMM enhancements into the proprietary Models2. Collection and validation of the required data from participating banks - identification of data issues, suggestion of data quality improvements, coordination of resubmissions3. Re-calibration of the SIMM parameters reflecting above SIMM enhancements as well as updated market data under the "3y history + 1y stressed" framework:* Risk weights 2 * Correlations * Historical Volatility Ratios * Concentration ThresholdsThe Successful ApplicantFull command of derivatives markets and global regulatory margin frameworks.In particular, knowledge of bank's margining frameworks.Excellent analytical and quantitative skills Advanced coding skills in Python, Excel VBA.(a must and will be tested)Excellent communication skillsA self-starter who is strongly motivated, proactive, exercises effective judgment and able to develop the Analytics function's as well as own capabilities.What's on Offercompetitive package, 10% pension, hybrid working.ContactSumrana SaleemQuote job refJN-092023-6170559Job summaryFunctionCFO & Financial ManagementSubsectorCFO & Financial Management SubsectorIndustryFinancial ServicesLocationCity of LondonContract typePermanentConsultant nameSumrana SaleemJob referenceJN-092023-6170559
