Assistant Director, Quantitative Developer

Duties and responsibilities

The Role: We are looking for a Quantitative Developer to join our team responsible for maintaining and enhancing the ISDA Standard Initial Margin Model (SIMM®) and related analytics infrastructure. This role combines quantitative expertise with strong programming skills to deliver robust, efficient, and scalable solutions for margin calculation and risk analytics.

Key Responsibilities

• Develop and maintain quantitative libraries for risk calculations, including risk weights, correlations, and historical volatility ratios.
• Implement and optimize SIMM® methodology within proprietary and vendor platforms.
• Collect, validate, and aggregate market and risk data from multiple sources.
• Develop and maintain backtesting, benchmarking and performance monitoring frameworks to validate SIMM performance against historical P&L vectors.
• Build and enhance analytics platforms to support SIMM® processes and parameter recalibration.
• Collaborate with quantitative analysts, risk managers, and technology teams to ensure alignment and efficiency.
• Work closely with SIMM® team members and ISDA colleagues to enhance the quality and efficiency of SIMM-related processes.

Skills and Knowledge

Technical Skills

• Strong programming skills in Python (mandatory), with experience in C++, Java, or similar languages.
• Proficiency in data handling and analysis using Pandas, NumPy, and SQL.
• Familiarity with cloud-based solutions and version control (Git).
• Solid understanding of risk modeling, margin methodologies, and derivatives pricing.
• Knowledge of regulatory frameworks such as BCBS-IOSCO margin requirements and Standardized approach for regulatory capital (FRTB-SBA).

Behavioral Competencies

• Results-Oriented: Demonstrates a proactive and solution-focused approach to problem-solving
• Organized and Efficient: Maintains high levels of productivity through structured and methodical work habits.
• Innovative and Adaptable: Shows creativity in overcoming challenges and flexibility in dynamic environments.
• Receptive to Feedback: Open to coaching and continuous improvement.

Education and Experience

• Master’s degree (or equivalent) in Mathematics, Physics, Computer Science, or a related quantitative discipline.
• At least 5 years of experience in quantitative development within financial services.
• Prior experience in risk management, margin calculation, or derivatives analytics is highly desirable.
• Prior experience working within a consulting firm, or at a sell-side or buy-side financial institution.
• Demonstrated involvement in initial margin implementation programmes.