Imported from previous forum
Interested in this excellent contracting position for a major investment bank in the city of London then call Andrew Green FM IT: 00 44 (0) 202 6463 NOW!
STAFF REQUISITION – JOB DESCRIPTION
Title: System Tester (quant)
Background: Following a year-long review of its Counterparty Risk systems, is planning to introduce a new global, strategic systems landscape to improve current information flow and to enable the bank to meet anticipated future challenges. The Risk Management department of (RMS&C) has been charged with realising this strategy.
has significant trading activity at its head office in Düsseldorf, and in London, New York and Tokyo. However, trading also takes place at around 20 other branches world-wide and the project is to encompass all Counterparty Risk in the trading books. Products traded include:
Fixed Income: Prime & emerging mkt. securities; repos; equities; credit derivs.
Derivatives: Swaps; IR, FX, Bond and Equity Futures and Options; exotics
Treasury: Loans & Deposits; CDs, Bills, Comm. Paper; FX, FRAs
The implementation of the new landscape will proceed in five phases, each with deliverable benefits, and is expected to take around two and a half years in total. At the heart of the new landscape will be a vendor product designed specifically for global Counterparty Risk measurement and management.
Following a requirements study, a small RMS&C user team has defined some high level concepts in preparation for phase 1 of the implementation. Building on this work a small BA team has recently completed a functional requirements specification. An implementation team will now be put together comprising development and testing personnel.
Two test resources are needed: one for general testing/test scripting and one for numerical testing of exposure calculations. The first test team member has just been recruited and is now looking to recruit a second tester to concentrate on proving all aspects of the exposure calculations in the vendor product.
This is a rare opportunity to play an important role in a major risk systems project at an early stage.
Skills needed: We are looking for a system tester with a mathematical background significant experience of financial markets.
Of primary importance are:
· A solid background in Financial Engineering in a Front or Middle Office banking environment.
· Previous experience of Monte Carlo VaR and VcV matrix calculations.
· Self-motivation with a friendly, confident but focused attitude. Team player. The analysis will involve discussions with people from many parts of the bank and close co-operation with the trading areas and with the internal Systems and Risk Management departments is important.
· A willingness to make occasional trips to’s head office in Düsseldorf. The implementation project will be based in London but there will be an ongoing need to liase with RMS&C team members in Düsseldorf. Expect 1 day in Düsseldorf every few weeks.
Of interest, but not essential, are:
· Previous experience of Market Risk or Counterparty Risk.
· Experience of working with any middleware product, particularly anything MQ Series compatible.
· Experience of working with XML interfaces.