Salary 10-18 lpa
- 13 Sep 2018
· Daily monitoring, review of margin and changes in risk and portfolio composition for Un cleared Swap Margin clients.
· Understand deeply and contribute to build out of the Sensitivity based Margin Methodology in practice from ISDA for Un cleared Margin products.
· Work closely with the Un cleared Margin programme team to research, analyze and document key business requirements
· Perform daily analysis on huge Margin movements in Clients portfolio by understanding the various methodologies /Strategies like Standardized Initial Margin Model (SIMM), Convert Arb, ADTV, IR, FX, Bond/CDS and give approval to ops to issue the margin calls/ reports to clients
· Perform risk & margin analysis by working with a range of stakeholders internally & externally
· Create communication & presentation materials going through analysis, key requirements & findings for multiple levels of stakeholders
· Liaise with technology teams in order to drive functional specifications and delivery.
· Develop, enhance and understand the internal tools developed b the team to manage daily margin signoffs and analysis. The tools are mainly on SQL based dashboards.
· Undergraduate Degree (or equivalent)
· Experience working within front office or suitable business or model focused quantitative role. Experience of managing a complex regulatory driven processes
· Experience in building risk, margin models methodologies and technical understanding
· Understanding of OTC derivatives products, risk and regulations. Excellent knowledge of Markets businesses. Relevant knowledge of model methodologies
· Understanding of EMIR, Dodd-Frank regulatory reforms. Understanding of derivatives pricing, risk including value-at-risk, historical simulation and VCV (variance covariance)
· Understanding of risk, margin and collateral management practices. Understanding of trade lifecycle & front-to-back flows
· Proficiency in MS PowerPoint, Word, Excel & Access. Able to multi-task and prioritize, delegate effectively within the wider team. Self-starter with an ability to be a strong team player who is able to build credibility, respect quickly
· Excellent in written communication with ability to produce high quality business requirements specifications, risk reviews. Engage effectively with a diverse set of stakeholders internally & externally. Believes in and adheres to values
· Specialization in Mathematics or Quantitative Finance
· Front office quantitative or analytical experience from top tier investment bank
· Experience in working within risk & margin function. Experience in producing business specifications. Experience in pricing OTC derivatives
· Understanding of first and second order risks. Understanding of collateral management function. Understanding of relational database & SQL coding
· Coding ability in functional languages such as R, F#. Familiar with EMIR, Dodd-Frank, specifically margin for non-centrally cleared derivatives regulations
· Experience of managing a business project or establishing a front-to-back business or regulatory driven processApply