Quantitative Analyst - SIMM Modelling
Salary £75,000 - £95,000 per annum
Consultant Michael Wilson
Date posted 16 August 2018 2018-08-162018-10-15 financial-services UK Robert Walters United Kingdom
A rarely available Quantitative Analyst - SIMM Modelling role has become available at a highly regarded Trade Association based in London. This role offers an opportunity for excellent career progression with a leading global Trade Organisation undertaking SIMM modelling calibration, review and validation in London.
Responsibilities of the Quantitative Analyst - SIMM Modelling:
Implement, optimize and maintain necessary systems to conduct the following key steps of the SIMM maintenance cycle:
- Implementation of SIMM enhancements to the proprietary ISDA SIMM Excel/VBA Model
- Perform, optimize and automate SIMM backtesting which compares SIMM results with P&L vectors over 10y history of banks’ data. Interact with participating banks to explain/solve issues
- Re-calibration of the SIMM parameters reflecting above SIMM enhancements as well as updated market data under the “3y history + 1y stressed” framewor
- Actively interact with other team members and ISDA colleagues, coordinate responses to member or licensee queries on the SIMM model and other relevant initiatives, and optimize the quality and efficiency of the Analytics function
Prerequisite Requirements for the Quantitative Analyst - SIMM Modelling:
- Working knowledge of ISDA Standard Initial Margin Model (SIMM) – theoretical framework and model mechanics
- Hands-on model implementation skills using Python or similar open source.
- Dissemination of Initial Margin knowledge, and communication of Initial Margin project outline to key stakeholders within the Trade Assoication.
ThisQuantitative Analyst - SIMM Modelling role offers an excellent opportunity to support a rapidly expanding Trade Organisation and Risk Analytics team in London. The role will offer scope to deliver key strategic and technical book of work whilst gaining opportunity to support projects and secure a long term career.
Should you be interested in this role and the opportunity it presents, please call me on 0207 509 8035 or email me, please be advised each applicant will be assessed against the above pre-screening criteria.