This position, Senior Derivatives Associate, reports to the Assistant Vice President leading the Derivatives Risk & Analytics group in the Derivatives Middle Office. The Derivatives Risk & Analytics group owns risk analytics, scenario analysis and product management for derivatives, providing results to Finance, Trading, Risk Management, Treasury and Portfolio Management. This team also serves as the quantitative risk team focused on the calculation and reconciliation of initial margin for bilateral derivatives. This is a critical new business function going live in September 2020.
The candidate will have a high level of derivatives and risk analytics expertise and work within a team environment to both contribute to and lead certain team initiatives. They will work closely with multiple teams to deliver initial margin and risk calculations to meet regulatory requirements. Additionally, they will work directly with counterparties to determine key drivers of IM differences and understand counterparty calculations. The position deals directly with the Front Office, Structured Solutions, Risk, IT and rest of the Derivatives Middle Office.
- Review valuations and analytics across derivatives systems. Development and on-going support for structured derivatives that are not supported by the system of record
- Lead IM reconciliation and review, communicate effectively with external counterparties as well with different internal teams
- Become a subject matter expert on uncleared margin rules and SIMM model. Drive collaborative efforts to improve the tools and processes to better meet the IM regulatory requirements. Assist with maintenance and testing of SIMM model as required
- Manage specific projects relating to research and/or global regulatory initiatives which impact the company – current ongoing initiatives are Libor Transition and Initial Margin. Contribute to expanding capabilities in order to support growing business needs and associated new derivatives products
- Development and support of enterprise level stress test processes for capital, liquidity and statutory work streams
- Liaise with cross functional teams which include representatives from ALM, Finance, Front Office, Middle Office, IT, Treasury and Risk Management in executing team initiatives
Essential Business Experience and Technical Skills:
- In-depth knowledge of derivative investment products and financial markets
- Strong Analytical and Quantitative skill set
- Ability to understand technology solutions
- Must be able to work independently, self-motivated, eager to learn
- 8+ years of experience
- Understanding of derivative valuations models and associated market data
- Problem-solving Skills
- Strong analytical and quantitative skills including object-oriented programming, Python, Excel, SQL
- Ability to balance multiple projects and responsibilities
- Strong organizational, planning and collaborative skills
- B.S. degree in Financial Engineering, Engineering/Physics, Operations Research, Finance, Mathematics or a similar field; advanced degree or CFA preferred
- Strong derivatives product knowledge in addition to familiarity with Numerix, Murex or Blackrock Aladdin are also preferred.
- Experience in market risk, trading or quantitative middle-office functions is preferred