OTC Derivative Pricing and Risk Subject matter Expert (SME)

OTC Derivative Pricing and Risk Subject matter Expert (SME) Role Purpose This is a great opportunity to join a Top Tier investment bank within the centre of London. This is a role which has international/local regional opportunities and is a great opportunity to maximise your exposure to banks international business activity. As the OTC Pricing Subject Matter Expert you are required to assist in the implementation of a strategic technology and operating model to support OTC Pricing across a number of products and functions within the bank. You as an SME will adhere to the internal controls and implement the Group compliance policy by containing compliance risk in liaison with the Global Head of Compliance. Relationship(s): * Project Team, including IT * The companys Derivative Pricing and Risk Team * BAs, Subject Matter Experts and System Analysts across other related middle office work streams * Product Managers for impacted functions, e.g. Quantitative Risk and Valuation Group (QRVG), TreasuryA&V, Operations Team and Vendor representatives, * Senior managers across IT, Treasury, Global Pricing Team, A&V and Middle Office * Pricing team and Stakeholders to understand objectives and goals around a Target Operating Model to support OTC Pricing * You will be expected to work closely with both the project team and relevant business lines to ensure current processes are fully understood and documented. * Assist with the creation of a new operating model around internal valuation. * Provide input into the configuration of Calypso to ensure the end state solution us fit for purpose * You as the SME are expected to raise any considered risks & issues with the Project Manager/ Product Manager, and log these into the Risk & Issue tracking tool used by the project team. * Assist with set up of discount curves, forward curves, vols and other relevantreference/market dataand prepare initial review of calypso out of the box models * Interface with Quant team from Capital Markets to ensure model review and validation process is followed per documented agreements. * Be aware of the Operational Risk scenarios associated with your role and act in a manner that takes account of operation risk considerations * Manage departmental budget and ensure costs are controlled, tracked and that accurate effort and expenditure figures are produced and reported as appropriate. * Ensure compliance with all relevant internal instructions (FIMs, GSMs, circulars) and external regulatory requirements, including the management of operational risk

and adherence to the Groups standards of ethical behaviour. Principal Accountabilities: Typical KPIs * Achieve derivative product roll-out per agreed plan and schedule of delivery * High level of client satisfaction in relation to OTC valuation coverage and capability * Regular scheduled calls with QRVG/ GPT in other offices on specific asset class issues * Clean department internal audit Role Dimensions * You as the SME are expected to have knowledge of derivative pricing across all asset classes including Credit, Equity, FX and Fixed Income. Previous Calypso experience preferred * You must have sufficient understanding and intuitive skills to assess if model results are reasonable and resolve any issues in conjunction with the QRV Team. Familiarity with industry standard valuation models, risk analytics and risk reporting. Valuation will rely heavily on the appropriate choice and use of pricing models (combined with appropriate adjustments when necessary). * Knowledge of the data vendor market and data available to price various derivative asset classes. Knowledge & Experience / Qualifications * University degree / Masters in business, finance, mathematics or related field. * 7+ years experience in Product Control, Risk, Trading, Pricing or related project work. * Ability to reverse engineer derivative valuations * Understanding of key price drivers in each asset class * Interpret price moves and impact on the Greeks * Understanding of current market risk practices and underlying calculations * Calypso implementation experience This vacancy is being advertised by Morgan McKinley Group Limited. The services advertised by Morgan McKinley Group Limited are those of an Employment Agency or an Employment Business

Vacancy Summary
Job Type Contract/Temp Location City of London Start Date ASAP Duration Undetermined

Salary 700 p/day Ref No: 103772-678425_738110 Date Advertised 15 Jul 2011