The role requires product knowledge in one or more of following asset classes, to understand and support pricing, risk, PnL, and VaR analytics for the various desks in the markets: a) Interest Rate b) Credit derivatives c) FX d) Commodity. Cross asset product knowledge including understanding of XVA framework (CVA, FVA, RWA, or KVA) and other aspects of counter-party credit risk management would be greatly advantageous.
- Supporting the desks with their risk and pricing needs
- Supporting and enhancing the platform capabilities
- Assisting in functional and integration testing
- Work closely with stakeholders from various functions like FO, Tech, Market Risk, Finance for day-to-day trading activities or for additional platform enhancement
- Proven track record in Quant background and knowledge of the relevant markets product.
- C++/C# programming background
- Good understanding of derivatives pricing and curve building