- Provide support to traders to understand and manage their positions and risks through various reports and analysis.
- Working closely with the trading teams to develop a deep knowledge of their business, clients and strategies;
- Continuous enhancement of P&L/Risk processes and systems using Python
- Provide expertise on certification of Greeks, P&L and sensitivities to different risk factors (Delta, Gamma, Vega, Basis, Forex, etc.);
- Monitoring and certification of Stress-Tests and Regulatory metrics such as Value-at-Risk and Expected Shortfall.
- Monitoring of risk limit consumptions and follow-up of breaches with Front-Office and Risk management.
- Provide analysis and sign off of valuation and risk metrics for new products or major projects such as IBOR transition.
- Master's degree in finance or in a relevant field
- Understanding valuation components of Fixed Income and Credit derivatives
- Knowledge of Greeks (Delta, Gamma, Vega, Basis, Forex)
- Strong analytical and mathematical skills
- Proficiency in Python programming a plus
- Prior work experience in financial services with good knowledge of Fixed Income risk and PnL metrics