Overview
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.
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.
Technical Skills
Understanding of Regulatory Frameworks
* Familiarity with the BCBS‑IOSCO margin requirements and their jurisdiction‑specific implementations as they pertain to SIMM.
* 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
* Advanced skills in Microsoft Excel.
* Experience developing algorithms using Python, C/C++, and Excel/VBA.
Professional Attributes
* 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.
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