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Global investment bank seeks VP level Quant Risk Manager responsible for Initial Margin calculations and Initial Margin ongoing performance tests.
The successful candidate will be responsible for Initial Margin calculations and Initial Margin ongoing performance tests. The model used is an internally developed implementation of the ISDA SIMM model, which is sensitivity-based. The role will report directly to the head of the Risk Analytics Group, as head of a new sub-team of Risk Analytics being set up to focus on this area.
The successful candidate will have responsibility for ensuring correct specification of the calculations to the developers working on the upstream systems which provide sensitivity inputs, and on the systems which aggregate sensitivities into Initial Margin calculations. The responsibilities will also cover inclusion of new products into the calculations, and internal coordination of periodic model updates issued by ISDA. The candidate will be expected to follow the relevant industry working group discussions to gain awareness of industry-wide model changes well in advance of the implementation date.
As well as the calculation of the Initial Margin, the role will have responsibility for model performance reporting. This includes various performance tests run over time, with results reported quarterly to internal committees and regulators,
Maintain specifications of the SIMM risk model calculation and its inputs
Update the specifications to meet SIMM model updates and distribute to system developers
Test risk output for new products to be handled in the model
Design model performance tests for both model assumptions and implementation. Improve existing model performance process
Run and analyse results on going model performance tests, Investigate issues and escalate results where appropriate
Reporting to model oversight committee and to regulators
Specify and test system changes to implement improvements to the model
Improve existing operational controls around the models and propose new ones to increase robustness.
Support Operations and Legal department in managing counterparty relationships Ad-hoc projects as required, including collaboration with risk analytics and model validation.
Proactively contribute to wider Risk function initiatives and projects.
Four or more years' experience within Financial services firm. Prior experience working on ISDA SIMM or on FRTB SA would be ideal but not essential.
SKILLS AND EXPERIENCE
Solid quantitative skills (computer science or maths/statistics or finance higher education at MSc level or above)
Understanding of financial markets and products including derivatives
Familiarity with principles of pricing derivatives
Experience of risk related role
Experience of ISDA SIMM or FRTB SA model
Excellent Excel knowledge and experience of VBA/Python/R preferable
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.
Internal Number: 6095015
About Morgan McKinley
eFinancialCareers is a career site specializing in financial services.