AVP - Rates Compression - Investment Bank (3-6 yrs)
AVP - Rates Compression for a top investment bank
Key Accountabilities :
- Managing various compression initiatives, including TriReduce cycles, LCH & CME Standard & Blended Rate Netting, internal and bilateral compressions.
- Trade capture of compression cycles
- Responsible for liaising with IT and Quants to build improved infrastructure to increase both efficiency and control.
- Develop, test and implement complex pricing tools and large data handling
- Understand and develop the compression processes for various rates products e.g. swaps, FRAs, swaptions etc.
- Analyse the PV and risk impact of different compression methods on desk's books by pricing them
- Understand, track and distribute key metrics e.g. gross notional, leverage balance sheet, compression impacts
- Suggest enhancements to the process of compression and perform analysis to determine potential impact
Essential Skills/Basic Qualifications:
- Must have an in-depth knowledge of Advanced IR risk and other trading book risks
- Preference for candidates with coding skills (Python Programming) with understanding of databases
- Excellent communication skills (oral/written) as the candidate will need to work directly and frequently with senior traders
- Flexible to covering different time zones (LDN/NYK/TKY), 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/Preferred Qualifications:
- In-depth understanding of trading book risks
- Experience in pricing and risk calculations
- Preference for candidates with knowledge of Python and SQL
- Mathematics or engineering-based degree
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