Assistant Vice President - Macro Desk Analyst - Banking

Your Role: 

- Working with global desk on pricing, trading and structuring of rates options, structured derivatives and exotics trades.

- Development of analysis tools Python / VBA based tools for trade analysis

- Scenario analysis, For Ex- Gamma/Theta analysis for vanilla options, ad-hoc scenario analysis for exotics options trades, back-testing of trading strategies

- Testing of pricing system, align mismatches between different pricing systems

- Pricing model check, comparison of parameters in different models, test run of same trades under different models

Essential Skills: 

- Good understanding of rates options, swaptions, rates exotics products, financial markets and greeks

- Knowledge of derivatives such as spread options, range accruals, CMS floaters etc, will be useful though not mandatory

- High competency with MS Excel including VBA macros

- Strong coding skills in particular Python and VBA with understanding of databases

- Strong statistical, time series and data analysis skills

- Excellent communication skills (oral/written) as the candidate will need to work directly and frequently with senior traders

- Flexible to work long hours, meet deadlines and be proactive

- Ability to prioritize and manage large projects and take full ownership of assigned tasks

- Aptitude for self-learning

Desirable skills:

- Knowledge of Python/R

- Knowledge of SQL

- Mathematics or engineering-based degree

- Strong Communication Skills