The firm is seeking to enhance its risk management framework by designing and managing calculations and metrics essential to robust risk oversight.
Requirements
- Experience with derivatives pricing (forwards, futures, options, swaps, exotics).
- Strong understanding of financial instruments, pricing methodologies, risk metrics, and market conventions across regions.
- Proficiency in Python for data analysis and automation.
- Proficiency in SQL for database management and data querying.
- Familiarity with Bloomberg, Reuters, or other real-time market data systems.
- Experience with risk and P&L systems, especially across multi-region time zones, is a plus.
Responsibilities
- Design, implement, and manage theoretical end-of-day and real-time P&L calculations across multiple asset classes, financial instruments, and trading strategies across the firm.
- Implement and maintain pricing methodologies to obtain theoretical values for illiquid products.
- Develop and document processes for handling regional market closures, holidays, and other disruptions affecting P&L calculations.
- Design and manage internal controls around automated P&L generation, ensuring compliance with firm-wide risk management and reporting standards.
- Work closely with the quant risk team to leverage P&L data for developing single trader and portfolio-level analytics, market exposure analysis, and risk and performance metrics.
- Perform validation of daily P&L data before final distribution to traders, risk management, and senior leadership.
Other
- Bachelor's degree required, preferably in Finance, Economics, Accounting, or STEM fields.
- A master’s degree in a data-intensive field (e.g., Data Science, Quantitative Finance, Mathematics, or Engineering) is preferred.
- 5+ years of relevant experience in a hedge fund, proprietary trading firm, or bank's trading desk, with a focus on P&L, performance data, and quant analytics.
- Excellent analytical and problem-solving skills with a strong attention to detail.
