Job Description : –
Maintenance of excel based Models to be used for valuation and margining in the Securities/forex/Forex Forwards and Derivatives Segments and in any new areas where CCIL might offer CCP clearing in the future (for eg. CDS)
Ensure that the excel based models are always up-to-date and that at any point in time these can be used to vett / verify the outputs generated from the main Risk Management Systems
a) Rigorous testing of the Risk Management software for valuation, margining, back-testing and stress testing.
b) Systematic documentation of test conditions, test cases and findings.
Use of excel based templates for the regular use by the Operations team for Daily, Monthly and Quarterly reports. Documentation of:
1) Valuation Process followed and
2) Steps in operating the excel prototype
3) Ensure that the excel based models are always up-to-date and that at any point in time these can be used to vett / verify the outputs generated from the main Risk Management Systems
Occassional analyisis of data in excel for HOD/Supervisors
Analysis to be done for Risk Committee. MD etc.
Experience : – 1 to 5 yrs
Desired Candidate Profile : –
QUALIFICATIONS, KNOWLEDGE, SKILLS AND ABILITIES
Thecandidate should have very good analytical skills and logical reasoning backedby ability to document results of analysis carried out to quantify the variousrisks that a Central Counterparty is exposed to.
Theideal candidate should have a post-graduate degree in Management(specialization in finance) or in Mathematics/Statistics/Economics/ any otherquantitative discipline and an experience in the area of domain risk management&in using Excel/Access at advanced level. Ability to handle large data sets and analyze them using variousquantitative tools, and more importantly understand how to interpret theresults is desired.
Workexperience of 1 to 5 years in a bank/institution in Treasury related area or in an Exchange or a KPO is apre-requisite.
Theincumbent must have proficient knowledge in one of the following areas:
A) Fixed Income Securities and Derivatives:
a. Sound knowledge andunderstanding of the basic features and characteristics of fixed incomesecurities and the associated risks.
b. Various analyticaltechniques for measuring fixed income risks
c. Sound understanding ofplain vanilla interest rate swaps, their structure and valuation
d. Various analyticaltechniques for measuring fixed income risks
e. Various analyticaltechniques for measuring fixed income risks
B) Forex MarketsUnderstanding of Forex Markets especially the characteristics of currencyforward contracts and their risk profiles.
C) Other Areas:
a. Knowledge of statistics,data collection, analysis, interpretation and data presentation
b. Exceptionally highskills in Microsoft Excel. Knowledge of writing Macros in Excel essential
c. Ability to create testcases for testing of Risk Management Softwares developed in-house as well asthrough consultants
Advanced level skills in using Microsoft ExcelKnowledge of writing Macros in Excel highly desirable
Company Profile : –
Founded in 1925 as the Board of Trade Clearing Corporation, The Clearing Corporation is one of the oldest independent clearing houses in the world. The Clearing Corporation was acquired by ICE on March 6, 2009, to provide the risk management framework, operational processing, and clearing infrastructure for the ICE Clear Credit (formerly ICE Trust) and ICE Clear Europe credit default swaps (CDS) clearing houses.