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DATE ADDED: Tue 18/02/2020

Technical Business Analyst - Finance Engineer

London, UK
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COMPANY: OPTIMUS E2E

JOB TYPE: Permanent, FullTime

SALARY: 75,000 - 95,000

Description

Essential Duties and Responsibilities:

•Structure real-world examples of trades and perform valuation and/or risk analytics tasks using CrossAsset library and other internal Products and tools.

•Write Requirements Definition (RD) and Product Specifications for Analytics and Risk across multiple asset classes such as IR/CC/INF/CR/EQ/FX/CMDT/HYBRID.

•Work as liaison between Customers and Internal teams (Sales, Business Analyst, PDM, Quantitative Research, Quantitative Development, Implementation, Support, Training, Documentation, QA…).

•Participate in pre-sales and projects involving the entire stack of products

•Design and perform FE testing on models (calibration and pricing) and risks across multiple asset classes on various Products.

•Provide consulting and professional services for clients using products for integrated/independent pricing and risk analytics system.

Qualifications:

•5-7 years of hands-on working experience in derivative pricing models and instruments across interest rate, cross-currency, credit, inflation, equity, foreign exchange, commodity, insurance, and hybrid products.

•5-7 years of hands-on working experience in counterparty credit risk (such as AMC, CVA, DVA, BCVA, FVA, PFE, EPE, EEPE, incremental CVA, collateral, netting, CSA, CVA VaR, PD, EAD, credit models, Basel III, Economic Capital, CCAR …) and/or market risk (such as VaR methodologies (parametric, historical, and Monte Carlo), incremental VaR, marginal VaR, stressed VaR, backtesting, Basel II, scenario generation, PCA, Volatility forecasting…).

•Strong Derivatives pricing knowledge. Cross-asset or Economic Scenario Generation (real world and risk neutral) experience is a plus.

•Strong mathematical skills including stochastic calculus, numerical methods (Tree, PDE), Monte Carlo simulation, probability and statistics, linear algebra, time series analysis, or actuarial analysis; and financial modeling, or quantitative/engineering related research.

•5-7 years of hands-on working experience with Excel and VBA. Knowledge of programming languages like Python/ C++/ C#/ Java preferred

•Self-motivated and quick-learning professional able to address complex technical challenges, and produce high quality solutions in an efficient and timely manner.

•German speaker preferred, but not mandatory

Education:

•MSc or PhD (preferred) in Mathematics, Financial Engineering, Finance, Econometrics, Statistics, Computer Science, Physics, Actuarial Science or related field. Professional certifications a plus.

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