Manager/AM/TL - Quant Middle Office - Equity & Derivatives

Manager/AM/TL-Quant Middle Office-Equity & DerIvatives

Quantitative Middle Office:

Quantitative Middle Office:

The QMO or Quantitative Middle Office Team is part of the Global Middle Office (GMO) Team. The Risk validation team is responsible for assisting in the accurate computation & reporting of risk sensitivities for OTC derivatives which are used for risk calculations.

Job Overview:

Daily Risk validation and Analysis:

- Review and validate capital measures

- Explain the daily capital cost changes for OTC derivatives

- Communicate daily with FO and technology partners on issues and discrepancies discovers

Capital Impact Analysis and Validation:

- Understand regulatory capital requirements and business implementations

- Validate technology implementations based on business requirements and resolve issues

- Provide capital related analytics and reporting

Process Improvement :

- Identify issues and control gaps in existing infrastructure

- Work with technology team to streamline our processes and enhance data integrity and control

Project Management:

- Accountable for the success of small projects or sections of larger ones

- Responsible for the quality and timeliness of all project deliverables and well as the implementation of relevant project management practices (status reporting, issue tracking etc)

- Day to day responsibility for managing the project with line, technology and other partners

Qualifications:

- Masters Degree in Finance, Economics or Financial Quantitative Analysis

- Strong technical skills including experience using MS Office, SQL, Visual Basic, Python would be a plus;

Must have:

- Strong knowledge of market & credit risk; knowledge of Counterparty Credit Risk, CVA and Basel III/ RWA of the OTC derivatives is also preferred.

- Past experience with OTC Derivatives market (CSA Netting, ISDA, CCPs etc)

- Experience handling large amount of data

- Excellent communication skills analytical skills

- Knowledge or experience with trading products in capital market like Knowledge of Fixed Income Modeling.

- Experience into pricing derivative products like Futures, Options, Indexes, CDS, CDO, FRAs, SWAPs, SWAPTIONs, CAPs/FLOORs.

- Knowledge of Financial Risk Management: Credit Risk Model, Value at Risk. Knowledge of Interest Rates, Credit spreads, bond pricing, etc.

Experience: 4 years - 8 years