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Initial Margin models like ISDA SIMM, and other Initial Margin computation (as CCP IM).
Validation of margin models. Backtesting of margin models
Ability to lead on an IMM regulatory submission for DIM involving:
Design and implementation of a model that addresses business requirements
Design and implementation a model validation framework that assess model adequacy
Documentation of the model following given standards
Understanding of regulatory requirements and prepare accordingly.
Effective communication with the GRA team at both Regional and Group levels ensures there is a strong common understanding of the DIM model and that best practices are being applied.
Providing bespoke analysis for new business helps ensure that the business can make appropriate risk/capital assessments with regards to DIM modelGeneric skillset:
Minimum Masters level in Math/Computer Science/Engineering discipline
Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
Developer with experience in python
Ability to lead, coordinate the work of other team members, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
Open personality and effective communication skills, ability to work in an international team