Quantitative Business Analyst (closed)
The successful applicant will be working with the global risk managers, quantitative developers, business analysts, and operations. The technology teams are located globally in London, Dublin, Toronto, Mumbai, Chennai and New York. The primary responsibility of this role is to validate, document, articulate and help execute risk based margin, especially for non cleared OTC derivatives. This team is responsible for extending and supporting all the current business and system flows whilst developing the unified strategic platform across all asset classes using consistent data and analytics.
Role Specific Responsibilities:
Hands on validation and documentation of inputs and outputs of on-going pricing, sensitivities and margin models for all classes of non-cleared OTC derivatives namely Credit, FX, Interest Rates, Commodity and Equity products. Work with risk managers, quantitative modellers and developers/ business analysts from various business and technology teams to ensure the quality and integrity of the overall system and flows.
- Strong quantitative background with deep knowledge of financial mathematics – especially fixed income mathematics. Academic back ground in engineering, physical sciences, mathematics, statistics, economics, etc.
- Knowledge of financial products and capital markets and pricing theory of derivatives – commodities, credit, interest rates, equity and foreign exchange.
- 5 or more years of relevant hands on experience in pricing and validation of fixed income, equity, foreign exchange and commodity based derivatives, especially OTC derivatives; knowledge of capital markets and risk is prerequisite.
- Attention to detail and execution oriented. Pro-active, self-starter and effective communicator.
- Knowledge of market risk (VaR methodologies and related metrics), Credit Risk and Counterparty Credit Risk,
- Good knowledge of MS Excel VBA for prototyping and validation for pricing models.
- .Ability to work independently, work towards project goals, and manage client relationship.
- Strong written, oral and interpersonal communications skills; Ability to communicate clearly and effectively across a globally dispersed team as well as with different business units to facilitate product development
- Proven ability to organize and execute projects in a consistent, repeatable and reliable manner; Professionalism and ability to take initiative and leadership.
- General knowledge of IT operations and mastery of industry standard project management practices and an in-depth understanding of SDLC, especially Agile methodologies and IT/Application Lifecycle management.
- Ability to think independently, drive through solutions, manage and mitigate project risk.
- Ability to work independently and collaboratively with a geographically dispersed group of business analysts, business users, developers, project managers, development managers, as well as senior technical leaders in a fluid environment to deliver high quality applications on time, to specification and within budget.
- Strong testing/QA/validation skills and experience are required.
Secondary (Desired but not essential)
- CFA , FRM, PRMIA or other related risk management specific certification
- Strong project management experience in critical delivery systems. PMP Certification is desirable
- Knowledge of Sql, Perl, relational databases and other exposure to programming languages
- Experience of front and middle office analytical applications is desired
- Knowledge of Prime Brokerage, financing business, margin process and risk management methodology is a plus.
- Exposure to real time systems, high-volume mission critical straight-through processing systems and pricing and risk engines is desired
- Experience in object oriented systems; distributed computing and service oriented system design; understanding of the concepts of system technologies and topology is desired.