SoHo Dragon represents an investment bank with offices in midtown Manhattan. Our client is looking to hire a Cross Asset quantitative technology engineer. You will be part of the CalcChain team whose purpose is to support and develop the calculation platform providing analytics to Front to Back consumers.
- This is for Full Time Employment for Direct Hire or C2C with the Investment Bank
- Interviews will be held via web conference call or phone
- Assist Market Risk, Product Control and IPV teams in understanding the numbers coming out of the Murex platform
- Troubleshoot issues related to valuation and used business functions inside derivatives (EQD and FIC) IT solutions.
- Identify, troubleshoot and respond to emergency situations impacting the Overnight batch for Risk and downstream data.
Business Solution Evolution
- Support the evolution of the Investment bank's Capital Markets business solution from the analytics/calculation technology perspective catering to Risk and Finance
- Work with front office IT, market/credit risk owners and product control owners to understand & implement:
- New products/payoffs front to back
- New functionalities within vendor packages (VaR, Sensitivities staging/reporting, Stress Testing, MLC)
- Work with EQD/FIC quant, Model validation team and Risk analytics to support the implementation of new products/models within the Murex Calculation platform used at the bank.
- Escalate problems proactively and ensure all stakeholders are kept aware of issues and their development.
- Develop test plans for enhancements & new modules of vendor provided software. Work with users to certify enhancements.
- Work with vendor to test & deploy enhancements to the Cross Asset Risk Platform
- Define test cases and scenarios for quality assurance and execute test plans
- Create and maintain a knowledge base, support scripts, documentation and procedures.
- 5+ years of experience developing solutions and supporting a Derivatives line of business ( IRD, FXO, EQD)
- Deep understanding of derivatives dynamic behavior, Greeks.
- Working knowledge in derivatives analytics allowing to engage with traders and quants.
- Working knowledge of Market Risk practices (stress testing, VaR)
- Knowledge of Murex core calculation modules (Pricing/Position management/risk management) – alternatively deep knowledge of a similar calculation platform.
- Usage of SQL, experience in VBA, Python
- Experience working on Risk Calculation platforms
- Ability to multitask several ongoing issues. This involves the ability to assess priority and make appropriate decisions quickly and effectively.
- Effective interpersonal skills and relationship-building skills.
- Strong written and verbal communication skills.
- Strong analytical and problem-solving abilities with keen attention to detail.
- Self motivated and directed, with the ability to effectively prioritize and execute tasks in a high-pressure environment.