Associate, Initial Margining Modeling
Job Level: Associate Job Function: Reporting & Analytics Location: New York, NY, US Employment Type: Full Time The anticipated salary range for this role is between $95,000.00 and $140,000.00. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.
Role Description We are seeking a highly motivated and detail-oriented Associate to join the Initial Margin modeling team. This role will primarily support the enhancement, implementation and maintenance of the SIMM and the xVA VaR model, with a focus on ongoing monitoring, BAU support, and ad-hoc analysis. This role will also support SIMM and xVA VaR requirements for onboarding new products and collaborate with Risk IT team to implement model changes. This role offers significant exposure to the SIMM and xVA VaR framework and broader enterprise risk management practices. This role requires a strong quantitative and analytical background.
Key Responsibilities 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.
Qualifications and Skills 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 statistical programming languages (e.g. Python, SQL), and data visualization tools (e.g. Power BI) etc. Ability to manage multiple priorities and work effectively in a fast-paced and collaborative environment.