CRISIL GR&A - Derivatives Analyst

Job Duties :

The Role would be to support the Quantitative Middle office (QMO) Team of a leading investment bank in the infrastructure build out and roll out of Independent Amount (IA)Computation comprising the following :

Immediate responsibilities :

- Validation of Inputs to Greek computation for structured products

- Infrastructure validation

- Implementation of control report checks to ensure data validation and completeness and Greeks reconciliation

Strategic support and role enhancement to cover :

- Industry testing exercises for UMR go-live

- Go Live support of IA Explain

- Ongoing BAU Control process set up and support

Skills required :

- Strong Derivative product knowledge, Greeks computation etc. We are looking at extensive knowledge of derivatives

Technical skills : Database management & SQL, VBA ( Python )