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Application Architect II

SkillStorm is seeking a Quant. Analyst for our client in Chicago, Illinois. Candidates must be able to work on SkillStorm's W2; not a C2C position. EOE, including disability/vets.

Description:

  • Quantitative Services (QS) team is involved in an enterprise wide IBOR transition initiative that will replace existing IBOR index and funding curves with the risk free SOFR/ESTER. The key objective of this initiative is to replace discounting and index curves that currently used to valuate bank derivatives and loans due to IBOR decommission. QS is the business owner for several key processes like UMR and Risk Optimization. As part of this initiative QS will be responsible for providing no harm and impact test, assessing exposure impacted, assisting compensation fees allocation and hedging execution when migrating 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, CSA transition 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.
  • Run no harm testing and impact analysis on LIBOR/EURIBOR decommission. Assess the execution of CCP compensation fees/hedging position and produce management reporting.
  • Understand quantitative libs and their usage to assist migration of existing FO/Risk pricing tools from IR toolkit to GDA functors;
  • Assess IM impact under Uncleared Margin Rules (UMR). Verify the model inputs (e.g. market data) and the calculations. 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. Provide analysis to various stakeholders.

Requirements:

  • Master degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field
  • 2+ years of experience working in a quantitative risk, middle office, or front office role
  • Python programming, SQL, VBA experience
  • Knowledge of broad range of OTC derivative, FIF, Repo and loan products, Credit Risk, VaR and XVA Models for FO or Risk valuation.
  • Ability to leverage strong quantitative and programming skills to build deep knowledge of the clients 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:

  • ? CFA and / or CQF is a plus
  • ? Knowledge of the current client 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

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Application Architect II

All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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