LOB Specific Description:
Quantitative Services (QS) team is involved in UMR initiative and is the business owner for several key processes like IBOR transition, UMR and Risk Optimization. As part of this initiative QS will be responsible for providing no harm and impact test, assessing IM impacted on regulatory IM calculation when USD base curve switch to SOFR across all LOBs. Assisting CPM desk and other FO teams on CCP compensation fees and risk allocation through CCP bulk transition. Responsibilities:
- Knowledge of yield curve construction and Rates derivative valuation. Assist FO desk on USD LIBOR to SOFR transition with different indexing curves by assess PV and risk impact for bi-lateral contract adjustment and CCP driven bulk transition.
- Run no harm testing and impact analysis on SIMM model annual back testing and implementation.
- Apply mathematical or statistical techniques to address practical issues in UMR program, such as SIMM IM calculation and monitoring, risk management, CSA transition and other regulatory requirements.
- Understand quantitative libs and their usage to assist migration of existing FO/Risk pricing tools off spreadsheet;
- Assess IM impact under Uncleared Margin Rules (UMR). Verify the model inputs (e.g. market data) and the calculations. Ensure the firm’s IM calculations are accurate after switching to risk free yield curves. Identify and establish control processes that will mitigate future IA calculation errors.
- Work directly with front office, business support and technology teams to enhance risk optimization approach. Provide analysis to various stakeholders.
(Must have these skills to be minimally qualified)
- 2+ years of experience working in a quantitative risk, middle office, or front office role
- Python programming, SQL, VBA experience
- Knowledge of broad range of OTC derivative, FIF, Repo and loan products, Credit Risk, VaR and XVA Models for FO or Risk valuation.
- Ability to leverage strong quantitative and programming skills to build deep knowledge of the bank’s analytical libraries and infrastructure
- Experience with handling large data set with the ability to transform information into concise presentations with sound business conclusions and recommendations
- Strong analytical and problem solving skills with the ability to interpret large amounts of information and conceptualize the impact across operational processes
- Excellent communication & analytical skills
- Master degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field
Enterprise Role Overview:
- Strives to bring new thoughts and ideas to teams in order to drive innovation and unique solutions.
- Excels in working among diverse viewpoints to determine the best path forward.
- Experience in connecting with a diverse set of clients to understand future business needs – is a continuous learner.
- Commitment to challenging the status quo and promoting positive change.
- Participate in and drive collaborative efforts to advance tools, technology, and ways of working to better serve an evolving client base.
- Believes in value of diversity so we can reflect, connect and meet the diverse needs of our clients and employees around the world.
Leads a large project or multiple projects that are significant in scope and impact. Works independently, with limited direction, and is evaluated through end results. May provide technical leadership. Interacts extensively with internal or external contacts to identify, research, analyze and resolve complex problems or to develop, sell or service significant revenue-generating products. Has extensive functional or professional knowledge. Key Responsibilities:
Develops financial modeling tools for derivative products, applying the theory and mathematics behind various models. Builds out analytical and technical tools for validations of new models/methodology. Provides in-depth impact analysis or scenario analysis of quantitative measurements. Develops reporting of various risk metrics complied with business and regulatory requirements. Understands financial products across all asset classes and has extensive knowledge of technical implementations. Posses advanced degree in physic, applied mathematics, statistics/probability or another heavy quantitative discipline.