Michael Page International Rec Ltd
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London, Greater London
Initial Margin Quantitative Analyst
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Salary: £80000 - £120000 per annum |
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Overview
Working on a a team involved in an Initial Margining project assisting with model validation, regulation and framework development Client Details Leading Risk Consultancy Description Design and implement a model that addresses business requirements Design and implement a model validation framework that assess model adequacy Effectively document the model following given standards Understand regulatory requirements pertaining to initial margin to ensure that the business is forewarned of changes in the regulation (e.g. EMIR, CRR and Basel/IOSCO rules) and can prepare accordingly Understand mathematical concepts behind Counterparty Credit Risk (CCR) and Collateral models already implemented Navigate through the existing analytical modules of CCR Aggregation and Collateral libraries Profile Experience in a CCR/XVA/Pricing Quantitative Analytics team, involved in building simulation (Monte Carlo scenario generation) models and developing simulation solutions Previously involved in a successful Dynamic Initial Margin (DIM) implementation for IMM - including DIM implementation for MVA Advanced C++ / Python developer Previously involved or familiar with CCR back-testing for IMM Experience in regulatory projects and submissions Job Offer Managerial / VP level requirement. Permanent opportunity This job was originally posted as www.totaljobs.com/job/89888231