Description
Risk Analyst, Market Risk, Product Control, Interest Rate Derivatives, Swaptions, VaR, Greeks, PnL
My client, a leading European Investment Bank requires a Risk & PnL Analyst to work within their Rates (Exotics & Hybrids) team. The team are responsible for completing fully attributed risk based PnL with corresponding Market Risk exposure analysis for use by Rates Exotics traders as well as many downstream and managerial groups. This analysis is done across a wide variety of products including Interest Rate Swaptions, CMS Spread Options, Caps and Floors, Range Swaps and FX Options.
The successful candidate will be required to generate a full Greek Risk analysis on a daily basis in addition to performing due diligence checks and trader sign off before results are sent downstream. In addition to this preliminary balance sheet submissions are made as well as reconciliation of T0 Balance Sheets prior to Submission to T+1 teams in Financial Control
In order to be considered for this role you will need to have strong market risk analysis experience and will ideally have some exposure to product control or PnL reporting. You will have a detailed understanding of VaR, Greeks and PnL and will have a solid knowledge of interest rate derivative products, especially swaptions and volatilities and will have a strong understanding of the models used to price them. Advanced Excel skills will also be required, with VBA programming skills being a distinct advantage.
Aston Carter Ltd is acting as an Employment Business in relation to this vacancy.