| Derivatives Analyst | |
| Leading Investment Bank Prague, Czech Republic Ref: EP028-02 |
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The RoleThe RoleIn the context of the Basel II project, the successful candidate will help make the Derivatives Division compliant with supervisory requirements for Structured Transactions. In particular, s/he will: support the implementation of valuation models, their validation, update and documentation; develop econometric models for the estimation of market data; cooperate in the computation of the 'fair price' of swap transactions and the determination of collateral requirements Responsibilities • Analyse new borrowing transactions and structured derivatives and assess risks • Develop and run valuation models for structured transactions • Validate, review, update and document swap valuation models and procedures • Specify market data requirements for valuation purposes in liaison with the Data Manager in FI • Develop econometric models for the estimation of relevant market data • Produce the 'fair value' for swap transactions for accounting purposes • Verify the valuation of the 'fair price' of transactions performed by counterparties • Define required collateral levels and verify counterparts' valuations • Contribute to the definition of: (a) exposure measures for derivative transactions, (b) bilateral counterpart limits and (c) more general policy guidelines to mitigate credit risks on the Bank's derivative portfolio |
RequirementsRequirementsQualifications • University degree, preferably in mathematics, quantitative finance and/or statistics. Post-graduate studies in these subjects would be an advantage • Solid professional experience acquired with a major derivatives user, with extensive implication in derivatives control • Sound knowledge in the areas of derivatives valuation and statistics, as well as in derivatives valuation packages, such as NUMERIX and Algorithmics • Knowledge of econometric techniques to estimate model parameters and data • Expertise in mathematical programming languages, e.g. Visual Basic, MathLab or Mathematica • Familiarity with the main issues of credit risk quantification • Knowledge of financial models and credit portfolio management would be an advantage • Very good knowledge of English or French and good knowledge of the other. Knowledge of other EU languages would be an advantage Competencies • High level analytical capabilities • Ability to work in a team • Strong interpersonal skills • Strong verbal and written communication skills • Ability to organise, prioritise and work under tight deadlines |
About the CompanyAbout the CompanyLeading investment bank active in corporate finance and asset management and underwriting activities |
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