A top tier bank is looking for a collateral quantitative analyst to join their team in London.
- 4 years+ experience in Traded Risk Analytics
- Understanding of CCR risk, CCP margin models, Margin models, Collateral risk
- Python programming
- Good knowledge of Markets/Derivatives products
- Quantitative knowledge of pricing models, in particular IR models
- Ability to interpret complex risk reports from multiple sources and ability to identify key material risks
- Understanding of traded risk regulation and incoming regulatory directives
This is a role responsible for identifying and investigating deficiencies in current Margining models (SIMM); current Collateral management framework (Eligibility criteria, Haircuts, Liquidity Risk) and Collateral modelling within CCR models (Collateral risk, MPoR calculation) due to the IBOR transition.
In line with regulatory requirements and industry standard approaches, the issues should be addressed by developing enhanced methodologies and software/library components for a more accurate risk measurement and management.
This role is responsible for ensure that the quantitative framework of CCPs remains fit per purpose.
If you are interested in this role, please apply below or contact me for more information.
Eames Consulting is acting as an Employment Business in relation to this vacancy.