Job Description

BA Market Risk - Murex/Calypso

Role Requirement:
- Good understanding of Murex's/Calypso's pricing, sensitivity, and risk engines for various asset classes like rates, FX, equities, credit etc.

- Hands on deal booking experience in Murex/Calypso for various asset classes

- Good understanding of deal life cycle in Murex/Calypso from deal booking to back-office reports generation

- In-depth understanding on forecast and discount curve setting. The understanding should include,

- Knowledge on various interpolation methods, generation algorithm and curve types in Murex

- Understanding on setting up FX derived, ARR based XCCY Basis curves, and tenor basis curves

- Setting up of a curve with mix of underlying instruments including, Cash rates, FRAs, Swaps etc

- Checking round tripping and overall correctness of curve

- Good understanding of Rate Index definitions and setting up of new Indexes

- Understanding of VaR, SVaR & Capital Calculations in Murex/Calypso

- Hands on experience in generating risk sensitivities report and setting of customised risk sensitivities and its reports

- Experience in Murex/Calypso back-office functionalities, including accounting

- Experience in performing User acceptance testing (UAT) in Murex/Calypso

Must have:

- Knowledge of deal booking in Murex/Calypso various asset classes

- Setting up of curves, pricing templates, risk sensitivities and VaR scenarios in Murex/Calypso

- Good understanding of different pricing settings and conventions in Murex/Calypso related to Fixed income pricing

- Hands on experience of generating logs for manual validation

- Management of market data flow in Murex/Calypso from Reuters and/or Bloomberg

- Excellent communication and time management skills

- Co-ordinate with different stakeholders, across geographies

- User acceptance testing (UAT)

Additional Preferred Skills :

- Experience of linking Murex to other Front office systems/Back-office systems

- Independent replication of pricing and risk engine of Murex/Calypso

- Understanding of Treasury products (interest rate and FX derivatives) valuations and risk calculations