Description
Contractor - Calypso Valuations Analyst
Excellent Daily Rate, Dublin City Centre
Role Description
The purpose of this role is to assist with the development, configuration, implementation and testing of the OTC derivatives Valuation and Risk modules within Calypso.
Responsibilities
- New instrument integration, market data requirements and valuation testing within Calypso
- Pricing environment configuration. Review pricing models. Identify and resolve bugs within Calypso pricing models.
- Market data setup: Identify appropriate instruments for yield curves and volatility surfaces & develop market data loaders in order to insert data into Calypso
- Configuration of Corporate Actions module and integration with Equity Option pricing environment
Requirements
An in-depth knowledge and professional experience of Calypso Technologies Inc. derivatives valuation software.
First rate understanding and professional experience of cross asset class derivative valuation models.
Working knowledge and experience of downstream accounting systems, such as Advent Geneva/Multifonds.
Knowledge of and experience with centralised clearing systems such as DTCC, Swapswire, Markitwire.
Experience
- 5+ years professional experience in the valuation of derivatives using Calypso Technologies Inc. software.
- Very High degree of numerical and analytical ability
- Ability to work to deadlines
- Ability to act independently
Qualifications
- Higher Level/Professional Qualification
- Preferred Disciplines: Mathematics/Finance/Statistics
- B.S - Master in Quantitative Finance or Technical field
- Strong Qualitative Analysis Skills