06/06 Sunita Rath
Assistant Manager at KPMG

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KPMG - Business Analyst - Murex/Calypo Specialist (3-7 yrs) Premium

Bangalore/Mumbai Job Code: 706387

Role and Responsibilities

The primary responsibilities of this role entails managing the risk system of the bank i.e. Murex which involves modelling of new instruments onto the risk system (Murex) as well as providing support to front office traders and risk managers with any risk related requests and risk methodologies or longer term projects.

The detailed responsibilities include:

- Become a proficient user of Murex (MX), ensuring the accuracy and consistency of the reports generated by MX

- Managing the end-to-end modelling of instruments in Murex, starting from data configuration to risk/VAR scenario analysis.

- Specification, design and building of new products within Murex (Financial / Modelling component).

- Production support for all Murex related reports that are produced from the overnight risk run

- Provide quantitative support to middle and front office across all trading desks with respect to valuations and market risk.

- Quantitative research and profit and loss attribution to assist traders and risk managers with investment decisions.

- Scenario generation and stress testing within Murex for all types of products as well as risk reports for risk managers.

- Responsible for the financial / modelling component of Murex and upgrades to the Risk environment.

- Liaison between Murex development / technical team and the Front-line Risk Management team/ Accountants on a daily basis.

- Modelling structures and pricing a range of interest rate, credit, equity, FX and commodity products.

- Having knowledge of yield curve methodologies and bootstrapping of curves.

- Probability of Default bootstrapping and valuation/ risk of credit derivatives.

- Responsible for development and maintenance of Value-at-Risk (VAR)/ Expected Tail Loss (ETL) and other risk measures to manage the bank's risk.

- Understanding the trading environment in which the different desk operate, including the trading strategies, products, markets, rates and liquidity.

- Assisting various business units within the bank with ad-hoc quantitative requests.

- Keeping up to date with the risk methodologies that are considered best practice.

Qualifications and Experience

- Understanding of financial instruments/derivatives across all the silos i.e. FX, interest rate, commodity, credit derivative. Knowledge of various modelling approaches of the same.

- Hands-on experience of managing risk system in any bank. Preference would be given to experience in managing Murex system.

- Deep understanding of risk sensitivities such as Greeks, PV01s, PnL attributions.

- Strong IT skills including an intermediate knowledge of MS Access, MS Excel is essential, Exposure to VBA, SQL, advanced data manipulation techniques as well as familiarity with trading systems (including Smart, Calypso ) an advantage.

- A CFA/FRM qualification would be an advantage.

- Minimum 3- 7 year's working experience in an investment banking environment.

Competencies:

- Analysis and attention to detail.

- Problem solving.

- Self-starter.

- Lateral and analytical thinker.

- Results driven.

- Support service orientation.

- Good written and oral, listening and speaking skills.

- Ability to work under pressure and to adapt to a changing working environment and changing deadlines.

- Ability to coordinate activities across various departments and to maintain and build good working relationships.

Women-friendly workplace:

Maternity and Paternity Benefits

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