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31/10 Pratika Karmaker
Assistant Manager at Ernst & Youngs

Views:545 Applications:141 Rec. Actions:Recruiter Actions:26

EY - Business Analyst - Market Risk - Murex/Calypso (3-12 yrs)

Mumbai Job Code: 1174023

BA Market Risk - Murex/Calypso


Role Requirement:


- Good understanding of Murex's/Calypso's pricing, sensitivity, and risk engines for various asset classes like rates, FX, equities, credit etc.

- Hands on deal booking experience in Murex/Calypso for various asset classes

- Good understanding of deal life cycle in Murex/Calypso from deal booking to back-office reports generation

- In-depth understanding on forecast and discount curve setting. The understanding should include,

- Knowledge on various interpolation methods, generation algorithm and curve types in Murex

- Understanding on setting up FX derived, ARR based XCCY Basis curves, and tenor basis curves

- Setting up of a curve with mix of underlying instruments including, Cash rates, FRAs, Swaps etc

- Checking round tripping and overall correctness of curve

- Good understanding of Rate Index definitions and setting up of new Indexes

- Understanding of VaR, SVaR & Capital Calculations in Murex/Calypso

- Hands on experience in generating risk sensitivities report and setting of customised risk sensitivities and its reports

- Experience in Murex/Calypso back-office functionalities, including accounting

- Experience in performing User acceptance testing (UAT) in Murex/Calypso

Must have:

- Knowledge of deal booking in Murex/Calypso various asset classes

- Setting up of curves, pricing templates, risk sensitivities and VaR scenarios in Murex/Calypso

- Good understanding of different pricing settings and conventions in Murex/Calypso related to Fixed income pricing

- Hands on experience of generating logs for manual validation

- Management of market data flow in Murex/Calypso from Reuters and/or Bloomberg

- Excellent communication and time management skills

- Co-ordinate with different stakeholders, across geographies

- User acceptance testing (UAT)

Additional Preferred Skills :

- Experience of linking Murex to other Front office systems/Back-office systems

- Independent replication of pricing and risk engine of Murex/Calypso

- Understanding of Treasury products (interest rate and FX derivatives) valuations and risk calculations

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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