·Development and configuration of risk views as required by trading desks or middle office.
·Analysis of change of valuation model on valuation, sensitivities and P&L attribution.
·Supporting model validators and other members of the middle office.
·Model analysis and improvement (calibration, risk stability, market data …).
5yr experience in front office or model validation
Functional / Technical Competencies:
·Experience in contribution to valuation model used for official accounting PV.
·Solid knowledge of pricing of vanilla interest rate products.
·Good understanding of sensitivities and P&L attributon.
·Advanced development skills (C# or C++).
·5yr experience in front office or model validation.
Education / Qualifications:
·MSc or PhD in relevant area.
Very good to have:
·Good mathematical and financial modelling skills in rates e.g. understanding of HW, local and stochastic vol models.
·Good knowledge in numerical methods and Monte Carlo valuation (e.g. variance reduction techniques, greeks computation…)
·Good understanding of curve construction and impact of different choices on valuation and risk.
·Knowledge in regulation.