AddressAbout the Role
This role will conduct routine market and counterparty risk models performance monitoring.
Functional Responsibilities:
Duties include, but are not limited to:
- Daily, mid-month, and month-end submission of in-scope rates and commodity products
- Identify abnormal rejections of the submission and look for opportunities to improve
- Month-end calibration of rates and commodity in-scope products to TOTEM market consensus
- Add products to submission and/or calibration for business growth, industry change, and regulatory mandate.
- Update current calculation/calibration templates according to internal pricing change; update current calculation/calibration templates according to Totem service change; enhance calculation/calibration for better submission/calibration quality
Essential qualifications/market skill set:
- 3+ years of Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, education
- Master's degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics or computer science
Preferred Skills & Abilities
- Broad knowledge of financial markets and products.
- Solid understanding of derivatives valuation and numerical methods.
- Experience in rates and commodity derivatives pricing.
- Strong analytical skills with high attention to detail and accuracy
- Strong programming skills, including Excel/VBA and Python.
