Vacancy expired!
Job Description:
Responsibilities:1. Apply mathematical or statistical techniques to address practical issues in overall IBOR transition program, such as derivative valuation, trade hedging, risk management, CSA transition and other regulatory requirements.2. Knowledge of yield curve construction and Rates derivative valuation. Build approach to assess Initial Margin (IM) and Present Value(PV) impact across all asset classes with different funding curves.3. Run regression testing and impact analysis on LIBOR/EURIBOR decommission. Assess the execution of CCP hedging position and produce management reporting.4. Understand quantitative libs and their usage to assist migration of existing FO/Risk pricing tools from IR toolkit to GDA functors.5. Assess IM impact uder 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.6. Work directly with front office, business support and technology teams to enhance risk optimization approach to be consistent with IBOR decommission. Provide analysis to various stakeholders.Requirements:• Master degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field.• 5+ 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.Other Qualifications:• 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.• 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.Job Band:H5Shift:1st shift (United States of America)Hours Per Week:40Weekly Schedule:Referral Bonus Amount:0 > Job Description:Responsibilities:1. Apply mathematical or statistical techniques to address practical issues in overall IBOR transition program, such as derivative valuation, trade hedging, risk management, CSA transition and other regulatory requirements.2. Knowledge of yield curve construction and Rates derivative valuation. Build approach to assess Initial Margin (IM) and Present Value(PV) impact across all asset classes with different funding curves.3. Run regression testing and impact analysis on LIBOR/EURIBOR decommission. Assess the execution of CCP hedging position and produce management reporting.4. Understand quantitative libs and their usage to assist migration of existing FO/Risk pricing tools from IR toolkit to GDA functors.5. Assess IM impact uder 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.6. Work directly with front office, business support and technology teams to enhance risk optimization approach to be consistent with IBOR decommission. Provide analysis to various stakeholders.Requirements:• Master degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field.• 5+ 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.Other Qualifications:• 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.• 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.Job Band:H5Shift:1st shift (United States of America)Hours Per Week:40Weekly Schedule:Referral Bonus Amount:0Job Description:Responsibilities:1. Apply mathematical or statistical techniques to address practical issues in overall IBOR transition program, such as derivative valuation, trade hedging, risk management, CSA transition and other regulatory requirements.2. Knowledge of yield curve construction and Rates derivative valuation. Build approach to assess Initial Margin (IM) and Present Value(PV) impact across all asset classes with different funding curves.3. Run regression testing and impact analysis on LIBOR/EURIBOR decommission. Assess the execution of CCP hedging position and produce management reporting.4. Understand quantitative libs and their usage to assist migration of existing FO/Risk pricing tools from IR toolkit to GDA functors.5. Assess IM impact uder 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.6. Work directly with front office, business support and technology teams to enhance risk optimization approach to be consistent with IBOR decommission. Provide analysis to various stakeholders.Requirements:• Master degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field.• 5+ 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.Other Qualifications:• 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.• 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.Shift:1st shift (United States of America)Hours Per Week:40Learn more about this roleVacancy expired!