Talensa are partnered with a fast growing and innovative Financial Services Markets Infrastructure and Consulting firm with office based in City, London

Permanent

Associate Director Level

London, City

This is a great and versatile role, looking for a Quantitative Developer to join the team responsible for maintaining and enhancing Derivatives risk - Initial Margin Model (IMM) 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 IMM 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 IMM performance against historical P&L vectors.

• Build and enhance analytics platforms to support IMM processes and parameter recalibration.

• Collaborate with quantitative analysts, risk managers, and technology teams to ensure alignment, efficiency and enhancements for future processes.

Technical Skills and Knowledge

• 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 modelling, margin methodologies, and derivatives pricing.
• Knowledge of regulatory frameworks such as BCBS-IOSCO, UMR margin requirements, Standardised approach for regulatory capital (FRTB-SA) and or XVA Capital / Exposure modelling

Education and Experience

• Master’s degree (or equivalent) in Mathematics, Physics, Computer Science, or a related quantitative discipline.
• Years of experience in quantitative development within financial services.
• Experience in risk management, derivatives risk / margin calculation, or analytics is highly desirable.
• Experience working within a consulting firm, or at a sell-side / buy-side financial institution.

This is a Technical Quant Development role requiring someone with some years exposure in either Derivatives risk / pricing - Margin Modelling (preferable), Market Risk (VaR) Capital Markets Risk modelling, Model Validation, Model development experience and now looking to take their career forward in a more industry leading way.