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Quantitative Services Manager - Counterparty Portfolio Management

In United States

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Quantitative Services Manager - Counterparty Portfolio Management   

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JOB TITLE:

Quantitative Services Manager - Counterparty Portfolio Management

JOB TYPE:

JOB SKILLS:

JOB LOCATION:

Charlotte, NC | Jersey City, NJ United States

JOB DESCRIPTION:

LOB Specific Description: Quantitative Services (QS) team is involved in UMR initiative and is the business owner for several key processes like UMR and Risk Optimization. As part of this initiative QS will be responsible for providing no harm and impact test, assessing IM impacted, educating phase 5 and 6 clients on regulatory IM calculation. Assisting BAU team explain and resolve IM disputes.   Responsibilities: 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. 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. 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.   Required Skills: (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   Desired Skills: Master degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field   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.   Enterprise Role Overview: Manage a team of quantitative professionals to deliver on various projects. Serve as the key QS lead on various high profile projects. Expected to communicate effectively with senior management across functional teams. Effectively manage junior analysts to produce high quality deliverables from the team across projects. Must be able to understand the details of the various projects under the team and communicate updates effectively. Has extensive professional and managerial experience through progressive career growth in the financial industry. Key Responsibilities include: Provide daily direction to team to deliver on various projects related to expertise in process design, tool development or methodology validation; Key responsibility for the design and roll out analytical and technical tools for validations of new models/methodology; Provides guidance and mentoring to direct reports by effectively managing team and resources; Must have a solid understanding of financial products and their implementation within the banks risk and pricing infrastructure; and 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.

Position Details

POSTED:

Dec 03, 2022

EMPLOYMENT:

INDUSTRY:

SNAPRECRUIT ID:

S16576704729567182

LOCATION:

United States

CITY:

Charlotte, NC | Jersey City, NJ

Job Origin:

OORWIN_ORGANIC_FEED

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Aug 19, 2017 9am-6pm
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LOB Specific Description: Quantitative Services (QS) team is involved in UMR initiative and is the business owner for several key processes like UMR and Risk Optimization. As part of this initiative QS will be responsible for providing no harm and impact test, assessing IM impacted, educating phase 5 and 6 clients on regulatory IM calculation. Assisting BAU team explain and resolve IM disputes.   Responsibilities: 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. 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. 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.   Required Skills: (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   Desired Skills: Master degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field   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.   Enterprise Role Overview: Manage a team of quantitative professionals to deliver on various projects. Serve as the key QS lead on various high profile projects. Expected to communicate effectively with senior management across functional teams. Effectively manage junior analysts to produce high quality deliverables from the team across projects. Must be able to understand the details of the various projects under the team and communicate updates effectively. Has extensive professional and managerial experience through progressive career growth in the financial industry. Key Responsibilities include: Provide daily direction to team to deliver on various projects related to expertise in process design, tool development or methodology validation; Key responsibility for the design and roll out analytical and technical tools for validations of new models/methodology; Provides guidance and mentoring to direct reports by effectively managing team and resources; Must have a solid understanding of financial products and their implementation within the banks risk and pricing infrastructure; and 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.


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