The hiring manager is looking for someone who has a strong understanding of risk/valuation and a solid mathematics foundation.
Main responsibilities will include:
4) PnL (Profit and Loss) Explained implementation,
5) Quantitative models implementations for computation/valuation,
6) Greeks (Delta/Gamma/Vega/Theta/Rho) report for traders,
7) Counterparty Risk Snapshot for marketers,
8) Default to Zero (DTZ), CDS (Credit Default Swap) Spread01, Recovery Rate01, Bucketed VaR (Value at Risk), Stress on Bucketed Shifts implementations for Market Risk
Strong understanding of risk/valuation and a solid mathematics foundation.
1) Endur and computational Grid architecture implementation of Credit Value Adjustment/Debit Value Adjustment (CVA/DVA),
2) Physical power trading implementation,
3) Physical ags/metals trading implementation,
Conduct project management activities including but not limited to project planning, estimation, scheduling, prioritization, business needs tractability, change requests processing, issue resolution, issue escalation, status reporting and lessons learned.
Coordinate efforts among project stakeholders including development team, business partners, end users, vendor(s) and downstream technology teams.
Write business requirements and translate them into application functional requirements for complex and exotic implementations for trading businesses (e.g. CVA/DVA and Greeks calculations).
Work closely with business partners (Trading, Marketing, Market Risk, Counterparty Credit Risk, Compliance, Finance, Operations and Quantitative modeling) in understanding their requirements and working with them on complex transactions which in return implementing the required specifications into technology systems
Interpretation of complex/exotic and highly math intensive business and functional requirements to development team for implementation.
Work with development team in designing the application/functionality, database, reports, and processes to help in accomplishing stated business needs in most efficient way possible.
Work/assist in development of test cases, test results, implementation & deployment plans.
Create and deliver presentations, training, user guides and any relevant efforts needed for business users to come on board with any new initiative / enhancement.
Suggest improvements or enhancements to processes and systems in order to increase customer satisfaction or improve productivity.
Conduct release management and audit activities for commodity products technology.
Carry out periodic access review system extraction and verification with business partners.