Fixed Income
Global Banking organisation is seeking a Risk Architect to join its Fixed Income team and define the strategy and design of a new risk platform which will be re-engineered to have the capability to handle greater volumes of data intra-day.
The ideal applicant will be strong in the following:
- Designing FO Risk systems
- Interacting with Front Office, Credit Risk, Market Risk , Product Control, Counterparty Risk Trading.
- Excellent understanding of the use of Risk for Trading, Hedging, RWA, Credit Valuation Adjustments and FVA, DVA
- Understanding of the mathematical models used to value Fixed Income trades.
- Mathematical understanding of the calculations used for the provision of Explains/Predicts to the Front Office
- Scenarios for the calculation of the greeks (Delta, Gamma, etc), Credit Risk (CVA, FVA, DVA)
- Setting up the data model and manipulation language for intra-day ( and real-time) Risk system
- Good understanding of the market conditions facing the Fixed Income business, such as Clearing, OIS discounting
Please respond immediately if this role is a good fit for you.
To find out more about Huxley Associates, please visit www.huxley.com
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