Derivative Analyst - Quantitative Middle Office - OTC - Investment Bank

Derivative Analyst- Quantitative Middle office

Location : Mumbai/Chennai

JD:

2 + years of relevant OTC Derivatives experience

- The Role would be to support the Quantitative Middle office (QMO) Team of a leading investment bank in the area of Market Risk Data validation

- Support the build out of Market Risk Infrastructure to ensure complete and accurate risk data

- Extensively verifying the quality and completeness of data covering all the systems within the scope of QMO via:

- Developing the working models of various controls

- Add enhancements and redefine specifications of reports as required

- Performing the control checks daily/weekly as required to formalize the process before getting the same automated

- Validation of Market Risk Data

- Set up and daily monitoring and controls for different lines of business and risk management teams

- Providing updates for QMO to report to other interested parties

- Providing in-depth analysis for QMO to support changes in control methods and provide Proofs of Concepts for alternate methods

- Automation of reconciliation reports using VBA / SQL

- MBA with Engineering background. IIT Preferable

- Candidate with 2+ years of OTC Derivatives experience

- Strong Derivative product knowledge, Greeks computation etc.

Technical skills - Database management & SQL, VBA.