This is a permanent position, no third-party resumes will be accepted. MUST be local to New York City.
The Quant engineer will be part of the team whose purpose is to support and develop the calculation platform providing analytics to Front to Back consumers.
Support
- Assist Market Risk, Product Control and IPV teams in understanding the numbers coming out of the Murex platform
- Troubleshoot issues related to valuation and used business functions inside derivatives (EQD and FIC) IT solutions.
Business Solution Evolution
- Support the evolution of the Capital Markets business solution from the analytics/calculation technology perspective catering to Risk and Finance
- Work with front office IT, market/credit risk owners and product control owners to understand & implement:
- New products/payoffs front to back
- New functionalities within vendor packages (VaR, Sensitivities staging/reporting, Stress Testing, MLC)
Qualifications:
- 3+ years of experience developing solutions and supporting a Derivatives line of business ( IRD, FXO, EQD)
- Deep understanding of derivatives dynamic behavior, Greeks.
- Working knowledge in derivatives analytics allowing to engage with traders and quants.
- Working knowledge of Market Risk practices (stress testing, VKnowledge of Murex core calculation modules (Pricing/Position management/risk management) – alternatively deep knowledge of a similar calculation platform.
- Usage of SQL, experience in VBA, Python
- Experience working on Risk Calculation platforms
- Effective interpersonal skills and relationship-building skills.
- Strong written and verbal communication skills.
- Strong analytical and problem-solving abilities with keen attention to detail.