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Quantitative Services Analyst - Chicago, IL or Charlotte, NC

Charlotte, North Carolina;

Job Description:

Quantitative Services (QS) team has been involved in an enterprise wide IBOR transition initiative that will replace existing IBOR index and funding curves with the risk free SOFR/ESTER. In addition, QS is the business owner for several key processes like Uncleared Margin Rules (UMR) and Initial Margin (IM) Risk Optimization. As part of UMR and IBOR initiatives, QS will be responsible for providing impact analysis, End-to-end (E2E) test, assisting hedging risk assessment and driving the overall migration from legacy yield curves to new risk free curves.

Responsibilities:

  • Apply mathematical or statistical techniques to address practical issues in overall IBOR transition program, such as derivative valuation, trade hedging, risk management and other regulatory requirements.
  • 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.
  • Assess the execution of CCP hedging position and produce management reporting.
  • Understand quantitative libs and their usage to assist migration of existing FO/Risk pricing tools (such as Excel/Macro) to application, such as using Python.
  • Assess IM impact under Uncleared Margin Rules (UMR). Verify the model inputs (e.g. market data) and calculated results. 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 to be consistent with IBOR decommission. Support senior teammates on analysis and documentation.

Enterprise Role Overview:

Works as part of a broader team on delivery of quantitative projects. Will work under the guidance of a senior team member; However expectation is that they would be self started who can work under minimal supervision. Interacts with cross functional teams to optimize tools & process flows. Will leverage strong quantitative and programming skills to build deep knowledge of the banks pricing & risk libraries and infrastructure. Key responsibilities include: Assist in the development of financial modeling tools for derivative products, applying the theory and mathematics behind various models; Builds out analytical and technical tools for validations of new models/methodology with minimal oversight; Develops reporting of various risk metrics complied with business and regulatory requirements; and Understands financial products across all asset classes and has extensive knowledge of technical implementations. Must have a bachelors degree in a quantitative field with knowledge of probability, statistics and stochastic processes. Advanced degree preferred

Required Skills: (Must have these skills to be minimally qualified)

  • Python programming, SQL, VBA experience.
  • 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:

  • 2 years of experience working in a quantitative risk, middle office, or front office role.
  • Bachelor degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field.
  • Knowledge of broad range of OTC derivative, FIF, Repo and loan products, Credit Risk, VaR and XVA Models for FO or Risk valuation.
  • Knowledge of the current banking regulatory environment.

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.

Job Band:

H6

Shift: 

1st shift (United States of America)

Hours Per Week:

40

Weekly Schedule:

Referral Bonus Amount:

0

Job Description:

Quantitative Services (QS) team has been involved in an enterprise wide IBOR transition initiative that will replace existing IBOR index and funding curves with the risk free SOFR/ESTER. In addition, QS is the business owner for several key processes like Uncleared Margin Rules (UMR) and Initial Margin (IM) Risk Optimization. As part of UMR and IBOR initiatives, QS will be responsible for providing impact analysis, End-to-end (E2E) test, assisting hedging risk assessment and driving the overall migration from legacy yield curves to new risk free curves.

Responsibilities:

  • Apply mathematical or statistical techniques to address practical issues in overall IBOR transition program, such as derivative valuation, trade hedging, risk management and other regulatory requirements.
  • 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.
  • Assess the execution of CCP hedging position and produce management reporting.
  • Understand quantitative libs and their usage to assist migration of existing FO/Risk pricing tools (such as Excel/Macro) to application, such as using Python.
  • Assess IM impact under Uncleared Margin Rules (UMR). Verify the model inputs (e.g. market data) and calculated results. 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 to be consistent with IBOR decommission. Support senior teammates on analysis and documentation.

Enterprise Role Overview:

Works as part of a broader team on delivery of quantitative projects. Will work under the guidance of a senior team member; However expectation is that they would be self started who can work under minimal supervision. Interacts with cross functional teams to optimize tools & process flows. Will leverage strong quantitative and programming skills to build deep knowledge of the banks pricing & risk libraries and infrastructure. Key responsibilities include: Assist in the development of financial modeling tools for derivative products, applying the theory and mathematics behind various models; Builds out analytical and technical tools for validations of new models/methodology with minimal oversight; Develops reporting of various risk metrics complied with business and regulatory requirements; and Understands financial products across all asset classes and has extensive knowledge of technical implementations. Must have a bachelors degree in a quantitative field with knowledge of probability, statistics and stochastic processes. Advanced degree preferred

Required Skills: (Must have these skills to be minimally qualified)

  • Python programming, SQL, VBA experience.
  • 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:

  • 2 years of experience working in a quantitative risk, middle office, or front office role.
  • Bachelor degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field.
  • Knowledge of broad range of OTC derivative, FIF, Repo and loan products, Credit Risk, VaR and XVA Models for FO or Risk valuation.
  • Knowledge of the current banking regulatory environment.

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.

Shift:

1st shift (United States of America)

Hours Per Week: 

40

Learn more about this role

Full time

JR-21063005

Band: H6

Manages People: No

Travel: No

Manager:

Talent Acquisition Contact:

Viviana Renshaw

Referral Bonus:

0