Rates Associate Bookrunner
The Rates Transaction Management Group (TMG) within the GM department is responsible for flash PL; risk reporting, and product related control functions for Fixed Income Products and Interest Rate Derivatives. The core responsibilities of the team are to ensure the integrity of the trade population for the close of business, the reporting of daily risk and PL and verification of risk and PL through the PL attribution process. TMG works closely with the business ensuring daily PL and Risk are reported accurately and timely. The candidate will need to independently enforce and maintain process controls as well as build relationships within the business and finance.
• Daily calculation of portfolio and trade-level risk reported to both the traders and management including interest rate, volatility and spread risk.
• Daily analysis and substantiation of derivative PL using market explanatory (ex delta, gamma, vega, theta)
• Daily reporting of PL highlights relating to the trading activity and market movements, to the Desk and Daily reporting of PL highlights relating to the trading activity and market movements, to the Desk and Senior Management of the Firm
• Pricing and evaluating dictionaries results that is more exotic or even outside of the rates space, for example: fed fund floors, EONIA swaps, OIS basis swaps, crude oil futures, SP mini futures, gold futures, vanilla EUR swaps and Schatz bond futures (EUR currency)
• Saving down market data that is specific to the prop business.
• Understanding the picture that entails the life cycle of a trade and the infrastructure that Rates TMG maintains and controls; from the point of execution all the way upstream to VAR
• Liaise with the business on a daily basis on infrastructure improvements and enhancements.
• Responding to ad hoc reporting requests from the desk and finance management.
• Possess working knowledge of cash products and familiarity with how they are used for hedging of derivatives.
• Liaise with Risk Management department to ensure that risk reported to traders is the same risk that the firm is using in their daily VAR analysis.
• Proactively looking to provide innovative solutions and improving processes within TMG rates.
• Keen to provide/suggest/recommend cost effective solutions across business lines and implement them.
• Utilizes escalation when required and is able to communicate changes effectively across the team.
• High performance orientation. Candidate is a driver of change and improvements. He/she reinforces the necessity and the benefits of change to his colleagues an educates them on the business improvements and process updates.
Requirements
• Bachelor’s Degree (preferred major or concentration in Finance, Economics or Mathematics)
• General product knowledge for pricing modeling of OTC derivative products
• Strong Excel user skills, particularly in using analytic add-ins and functions
• Knowledge of MS Access and VBA recommended
• Previous experience with Interest Rate Products preferred
• Detail oriented, with the ability to appropriately prioritize tasks and issues in a time pressured environment
• Team player who can contribute to the success of the team and the Bank
• Very strong communication skills for effective interaction with Clients, front office and operations colleagues.
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