Seeking a Derivatives / Pricing Subject Matter Expert to join a dynamic Strategy and Planning Team as Front-Office Business Analyst.
Responsible for planning and roadmap of Analytics used for Derivatives valuation & Risk management. The customer base includes Risk Team and Portfolio managers.
This position will be involving specifications management and build out of pricing libraries and tools that carries out numerical modelling and connects to various technology interfaces for obtaining Trade information, Market Data and Reference Data.
Domain expertise include, pricing in FX, Equities, Fixed Income, Commodities and Credit asset classes.
Responsibilities
- Lead work on Derivatives Pricing Projects & participate in Model Development discussions with Quant Team.
- Interface with Valuation Controllers who own all Derivative curves & surfaces used for Pricing and Risk management in Production and spec out roadmap for improvements and changes.
- Produce Bug-fix specifications for PnL, Pricing and Risk issues and participate in coordinating a fix with Analytics Support & Model Quant Teams.
- Be fully responsible for making sure production valuation issues are fixed satisfactorily, incident analysis(RCA) is carried out, and appropriate remedial action is taken to mitigate recurrence jointly with Pricing Support Lead.
- Oversee reporting of Derivatives Pricing & Analytics Strategy roadmap jointly to Head of Platform Strategy and Quantitative Analytics, Project manager for scheduling production bug fixes/ priorities.
Requirements
- Understanding of different asset classes and the associated instrument types in one or more of FX/Rates/Equity asset classes in a Bank/Hedge Fund is a must.
- Relevant expertise with an inhouse or vendor-based Risk Management System.
- Experienced with any Trading or Order Management System from Vendor perspective.
- Proven track record as Derivatives Pricing Lead Analyst or a Valuation Control/ Model Quant role in a production setup involving multiple stakeholder groups, and cross function team liaising.
- Hold similar experience for at least 5 years with Team management of a lean team.
If you hold the relevant experience in Business Analyst, across front office derivatives and pricing, do reach me at [Confidential Information] for a confidential discussion.
EA License no: 16S8066 | Reg no.: R1657935
Only successful candidates will be notified.
