Associate, Initial Margining Modeling

Sumitomo Mitsui Banking Corporation•New York, NY

1d•$95,000 - $140,000•Hybrid

About The Position

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.

Requirements

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.

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.