Job Description

Reference # : 17-02080Title : Quan Middle Office (IA) Specialist
Location : Chicago, IL
Position Type : Direct Placement
Experience Level : Start Date : 03/07/2017
Eclaro International is currently recruiting for a Quan Middle Office (IA) Specialist for one of our financial services clients.

Job Description:

The Quantitative Middle Office Independent Amount (IA) team is responsible for assisting the Counterparty Portfolio Management team with the establishment of business processes and controls needed to ensure the firm's IA calculations are accurate and consistent with the Uncleared Margin Rules (UMR). The current opening is for an associate who will work in a team setting to ensure successful delivery of UMR deliverables


• Assist with the testing and validation of IA results through each technology release
• Provide enhanced analysis and IA explains to front office and collateral operations teams when counterparty disputes arise on IA calculations
• Review and verify the model inputs feeding the IA calculations
• Assess production IA results for errors
• Identify and Establish control processes that will mitigate future IA calculation errors
• Work directly with the front office and technology teams on issues discovered through technology testing and model validation
• Provide assessment of counterparty computed IA numbers for reasonableness
• Conduct in-depth analysis of reasons for discrepancies in IA results between the firm and counterparty
• Validate and explain drivers of day over day changes in IA to CPM and Collateral operations teams
• Work with technology teams to guide IA calculator reporting and control requirements


• Master's degree or higher in Finance, Economics or Quantitative field
• Excellent communication skills
• Strong technical skills including experience using Excel, VBA and SQL
• Strong analytical skills
• Understanding of Fixed Income and FX modeling
• Experience working with OTC derivatives
• Experience pricing OTC derivative products including futures, options, swaps, credit default swaps, forward rate agreements and swaptions
• Knowledge of Financial Risk Management, Credit Risk Models, Value at Risk (VaR)
• Strong knowledge of market & credit risk
• At least 3 years of experience working in a quantitative risk, middle office, or front office role
• Understanding of the collateral management process at large bank
• Knowledge of CVA, FVA, regulatory capital requirements, and Independent Amount
• Python programming experience

Application Instructions

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