Associate, SIMM & xVA Risk Modeling

SMBC Group; New York (NY); Ibrido; USD 95.000 - 140.000; Tempo pieno

Descrizione del lavoro

SMBC Group is seeking an Associate to join the Initial Margin modeling team. The role focuses on the SIMM and xVA VaR framework, supporting ongoing monitoring, BAU activities, and onboarding of new products with Risk IT collaboration.

The ideal candidate has strong quantitative skills, experience with derivatives, and proficiency in Python, SQL, and Power BI, in a hybrid work environment in the United States. The role offers competitive compensation and benefits.

Competenze

• Bachelor’s or Master’s degree in Financial Engineering, Mathematics, Computer Science, Statistics, or a related quantitative field.
• 2–5 years of experience in SIMM, xVA, market risk or counterparty credit risk.
• Knowledge of derivatives products (e.g., interest rate swaps, FX derivatives, options), and related valuation fundamentals.
• Understanding of SIMM and xVA concepts such as VM, IM, RMA, ISDA.
• Strong analytical, problem-solving and communication skills with attention to detail.
• Proficiency in Python, SQL, and data visualization tools such as Power BI.

Mansioni

• Participate in semiannual ISDA SIMM upgrade and collaborate with IT for implementation
• Perform model ongoing monitoring activities (e.g. back-testing), and investigate breaches for any remediation action.
• Analyze and monitor SIMM and RMA for bilateral transactions, and investigate margin dispute and large day-over-day movements.
• Assist in the enhancement and ongoing monitoring for the xVA VaR model.
• Work with IT to perform user-acceptance-testing (UAT) for implementing SIMM and xVA VaR to support new business onboarding.
• Collaborate with FO, margin operations, risk officers, risk reporting and other stakeholders to improve SIMM and xVA VaR framework.

Conoscenze

Python

SQL

Power BI

Formazione

Bachelor’s or Master’s degree in Financial Engineering, Mathematics, Computer Science, Statistics, or a related quantitative field

Strumenti

Power BI

Descrizione del lavoro

SMBC Group is seeking an Associate to join the Initial Margin modeling team. The role focuses on the SIMM and xVA VaR framework, supporting ongoing monitoring, BAU activities, and onboarding of new products with Risk IT collaboration.

The ideal candidate has strong quantitative skills, experience with derivatives, and proficiency in Python, SQL, and Power BI, in a hybrid work environment in the United States. The role offers competitive compensation and benefits.