Description
The team are tasked with configuring the Murex views which calculate the sensitivities needed by the model. This work is already underway, but in addition to the development of the views, we need to produce sufficient documentation material of the results for an independent validation to be carried out by Risk Validation. Documentation of similar standard is also being produced by Front Office for the sensitivities calculated in the proprietary exotics risk engine, and the two strands of work should proceed in a coordinated fashion. We are also starting bilateral exercises with counterparties where we compare our sensitivities to theirs, and this will generate further investigations and reviews of the calculation.
The team also need to set up an approach to backtesting of the SIMM model. This will require collection and manipulation of P&L and margin data at a counterparty level to put together an assessment of how well SIMM performs on actual positions.
Key responsibilities:
- Conduct testing of Murex and EDGHyb sensitivity calculations and document the results
- Analyse issues on sensitivities reported from the bilateral testing versus market counterparties
- Set up the process of SIMM backtesting and conduct an initial run
Skills and experience:
Required
- Solid quantitative skills (computer science or maths/statistics or finance higher education at MSc level or above)
- Understanding of financial markets and products including derivatives
- Familiarity with principles of pricing derivatives
- Good understanding of concepts of risk, in particular sensitivities (delta, vega etc)
- Experience in writing documentation of model tests
Desirable
- Familiarity with Murex
- Understanding of VaR
Personal requirements:
- Excellent communication skills, with the ability to adjust to different audiences.
- Highly motivated and innovative, able to work on own initiative
- Excellent accuracy and attention to detail with an analytical mind-set
- Good team player with professional attitude
- Good time management and ability to prioritise
- Ability to manage large workloads and tight deadlines
McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.