SoHo Dragon

SoHo Dragon represents an investment bank with offices in midtown Manhattan. Our client is looking to hire a Murex Risk Data engineer to be part of the NPE (New product Enablement) team whose purpose is to support Quants and Risk models validation efforts. The Murex Risk engineer will specifically help generate and assess the calculated data quality, which is a critical function to ensure a rapid time to market of new derivatives products.

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Support

• Assist Quants, Risk Analytics and Market Risk teams in generating the numbers out of the Murex platform (SIMM crif files, PL Vectors for VaR, Backtesting…)
• Troubleshoot issues related to generated data quality, validate required static / market data /scenarios and other valuation settings.
• Rerun as needed data/files depending on various data requests from Risk Analytics/Quants users.

Business Solution Evolution

• Configure Murex environments, working with FO-IT, to enable requested calculations.
• Support the evolution of the automation of the data generation by giving continuous feedback to the Murex Risk development team.
• 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 products initiated by Front office and requiring analytics validation.
• Create and maintain a knowledge base, support scripts, documentation and procedures

Qualifications:

• 5+ years of experience supporting a Derivatives line of business ( IRD, FXO, EQD) or a Market Risk cross Asset implementation, using Murex 3.1
• Working knowledge in derivatives analytics allowing to engage with Risk Managers.
• Working knowledge of Market Risk practices (stress testing, VaR)
• Knowledge of Murex core calculation modules (Pricing/Position management/risk management).
• Usage of SQL, experience in Python, ANT scripting
• 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.