SIMM Quant Analyst, AD - London / New York

Job purpose

The Assistant Director plays a pivotal role in supporting the SIMM maintenance cycle

through timely quantitative analysis and the development of supporting technology. This position

ensures the robustness and efficiency of SIMM processes, contributing directly to the

mission of promoting safer and efficient derivatives markets

Duties and responsibilities

SIMM Maintenance and Management: Lead and contribute to the ongoing

maintenance of the SIMM, including:

o Implementation of SIMM enhancements into proprietary SIMM

models.

o Data collection, review and aggregation from a variety of sources including

public and vendor sources, identifying data quality issues, recommending

improvements, and coordinating resubmissions.

o Recalibration of SIMM parameters such as risk weights, correlations,

historical volatility ratios, and concentration thresholds, based on enhancements

and updated market data.

o Validation of recalibrated parameters to ensure accuracy and adherence to

SIMM methodology.

o Backtesting and benchmarking of SIMM results against historical P&L

vectors, including automation and optimization of these processes, and

collaboration with banks to address discrepancies.

o Reconciliation or backtesting results, including identification of test failures

and resolution through engagement with participating banks.

Cross-Team Collaboration: Work closely with SIMM team members to enhance the quality and efficiency of SIMM-related processes.

Technology and Platform Development: Continuously review and propose

enhancements to the Perun analytics platform to support and streamline SIMM

analytics.

Corporate Alignment: Uphold and promote corporate values

Context and Impact: work in advancing a safer and more efficient global

derivatives market involves highly complex functions and processes. The technology

supporting these efforts must be cutting-edge, enabling standardized automation and

operational excellence.

Qualifications

A Master’s degree (or equivalent) in a quantitative discipline such as Mathematics,

Physics, or a related field.

A minimum of five years of professional experience in risk management, quantitative

finance, or a closely related area.

Prior experience working within a consulting firm, or at a sell-side or buy-side financial

institution.

Demonstrated involvement in initial margin implementation programmes.

Relevant Skills/ Abilities

Technical Skills

Understanding of Regulatory Frameworks:

o Familiarity with the BCBS-IOSCO margin requirements and their jurisdiction-

specific implementations as they pertain to SIMM.

o Familiarity with the Standardized approach (FRTB-SBA) for regulatory capital

SIMM Methodology Expertise: Working knowledge of the SIMM framework or the

technical aptitude to grasp its core components within a short timeframe.

Analytical Tools Proficiency:

o Advanced skills in Microsoft Excel.

o Experience developing algorithms using Python, C/C++, and Excel/VBA.

Behavioural Competencies

Results-Oriented: Demonstrates a proactive, solution-focused approach to problem

solving.

Organized and Efficient: Maintains high levels of productivity through structured and

methodical work habits.

Innovative and Adaptable: Shows creativity in overcoming challenges and flexibility in

dynamic environments.

Receptive to Feedback: Open to coaching and continuous improvement through

constructive input

Experience

A Master’s degree (or equivalent) in a quantitative discipline such as Mathematics, Physics,

or a related field.

A minimum of five years of professional experience in risk management, quantitative

finance, or a closely related area.

Prior experience working within a consulting firm, or at a sell-side or buy-side financial

institution.

Demonstrated involvement in initial margin implementation programmes.