Would you like to work in dynamic environment where your opinion and expertise is heard? Do you have analytical mind? We are looking for someone like that to:
• Coordinate as well as participate in the analysis and development work required to support the potential IR benchmark transition from Libor to new RFR
• Review and assess the appropriateness of derivatives pricing models and valuation methodologies, especially for the various interest rates models/products.
• Review, develop and execute parameter estimation and calibration routines, and provide technical assistance to other teams in valuation areas.
• Support the development of the valuations library.
• work closely with front office trading and quants, market risk control and valuation control