Quant Developer - Bank

Quant Developer - MNC Bank

- Performing margin analysis for counterparties who will be coming in-scope for Sept 2020 & Sept 2021 as well as client engagement

- Monitoring and oversight of counterparties subject to margin for non-centrally cleared derivatives portfolios

- Providing oversight to Operations team who support the daily IM calls, disputes to ensure timely resolutions

- Performing regulatory model monitoring tasks & driving the strategic IT deliverables

- Work with Trading, Sales on the internal pricing queries

Stakeholder Management and Leadership

- This is a high-profile front office position which will require a high level of engagement with a variety of stakeholders across the Markets, including Trading, Sales, Risk, Legal, QA, Technology and Operations.

- Decision-making and Problem Solving

- Strong analytical problem solver with trading or structuring experience

- Able to multi-task, prioritize and work in a global team

- Self-starter

- Excellent in written communication with ability to produce high quality business requirements specifications, risk reviews

- Able to work with a diverse set of stakeholders internally & externally

- Team player with an ability to quickly build credibility

- Demonstrates and strong believer in values

Risk and Control Objective:

Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards.

Person Specification:

- Experience working within front office or suitable business or model focused quantitative role

- Experience of managing a complex regulatory driven processes or client facing structuring role

- Experience in building risk and/or margin models and technical understanding

- Front office quantitative or analytical experience from top tier investment bank

- Experience in working within regulatory margin team

- Experience of pricing OTC derivatives from trading or structuring role

Essential Skills/Basic Qualifications:

- Excellent knowledge of Investment Banking Markets businesses

- Understanding of EMIR, Dodd-Frank regulatory reforms including margin for non-centrally derivatives

- Understanding of OTC derivatives pricing, risk including value-at-risk, historical simulation and VCV (variance covariance)

- Understanding of risk, margin and collateral management practices

- Understanding of OTC bilateral trade lifecycle & front-to-back flows

- Proficiency in MS PowerPoint, Word, Excel & Access