As a member of Treasury Quantitative Analysis and Reporting (CTQAR) team, the analyst will participate in the report generation process primarily for Liquid Assets Management (LAM) portfolio as well as other reports produced by the team such as interest rate risk, and currency exposure reports for Assets and Liability Management (ALM) functions.
Duties and Accountabilities:
Specific processes currently identified are:
- To monitor, check quality of the data, investigate anomalies and react on various processes for report generation.
- Market data download/upload processes, for various market data.
- Paydown and cashflow schedule updates for MBS and other ABS.
- Trade capture of futures and options transactions (from Bloomberg to Summit)
- Futures/Options prices download from Bloomberg and upload into Summit.
- Capturing the cash balance at the State Street in Summit.
- Monitoring the download processes for RiskMetrics data and Barclay's benchmark information.
- Bond prices download from State Street and upload into Summit.
- Cash reconciliation between Summit and State Street.
- Run a series of system programs to measure fair value, market risk, currency, and counterparty exposure and P&Ls.
- Analyze and validate the result based on the portfolio positions and market movement.
- Resolve discrepancies and anomalies of the result.
- Publish reports to clients.
- Provide ad-hoc analysis and reporting to clients.
- Knowledge of fixed income mathematics, derivatives and information technology.
- Strong analytical skills.
- High degree of motivation to enhance productivity and efficiency using computer system.
- Careful attention to details and reliability of the output.
- Ability to work under pressure.
- Excellent communication skills to explain the logic behind the analysis.
- Commitment to the daily production of error-free reports.
- College degree in Finance or Mathematics and/or experience in fixed-income analysis will be preferred.
- Knowledge of Bloomberg, Reuters, Summit will be a strong advantage.
- Proficiency VBA, Oracle (or other RDBMS), SQL, MS Access and Excel in order to maintain and improve existing reporting applications will be a big plus.
IFC - 18 months ago
IFC, a member of the World Bank Group, is the largest global development institution focused on the private sector in developing countries....