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Derivatives Analyst - Quantitative Middle Office Team - Investment Bank (1-7 yrs)
Job description
- 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:
1) Immediate responsibilities
a. Validation of Inputs to Greek computation for structured products for IM validation
b. Infrastructure validation
c. Implementation of control report checks to ensure data validation and completeness and Greeks reconciliation
d. Validation of IA amounts calculated using various sources
e. Validation of product level risk sensitivities
2) 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 (Preferable) and advanced Excel
- Exposure to Risk terminologies such as VaR, Stress Testing and knowledge of funds industry is an asset
- Knowledge of various regulatory requirements and submissions
- Exposure to derivative products across a broad range of asset classes
- Excellent communication skills
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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