Calypso FO Pricing Business Analyst

3 weeks ago


Sydney, New South Wales, Australia Luxoft Full time

Project description

We've been engaged by an Australian financial institution to support their Calypso asset within wide range of projects like Product & Pricing, Risk & Regulatory, Collateral Management, Version upgrades etc. We are looking for multiple people across business analysis, development, and QA as part of this large-scale engagement.
This role requires an experienced Calypso business analyst with focus on all interfaces across capital markets area. Your main contribution will be to deliver Calypso offering in the Asia Pacific region covering mainly FO and Quants functionalities like Pricing, Market Data, Risk Analysis and Model Validation. This role requires working as part of a scrum team with multiple BA, Dev and QA within a projects like Calypso upgrade or within a small or medium BAU changes.
This will be a high-profile engagement with a view to grow our footprint with this client.

Responsibilities

  • Successful candidate will work on both technical and functional aspects of various Calypso modules like Market date setup including configuring curves, Pricer model validation for IRD products, Various PL report configuration and Validation and Risk analysis
  • Coordinating with trading desks for any pricing-related requirements issues, working with Quants team for model validations
  • Configuration, integration & testing of all major or minor changes within calypso front office and trade interfaces like markitwire
  • Configuration of Front office work station reports, Cash ladders, Product templates, OPL reports etc
  • Working within projects like Calypso upgrades, Introducing new modules / products and migration from legacy systems
  • The role will be predominantly at client location and activities include but not limited to Running user workshops to understand and draw up business processes, understanding current legacy implementations, and capturing functional and technical business requirements
  • Work closely with project teams, provide analysis, support, and assist with software releases and rollouts in the production environment according to Change Management best practices
  • Develop an overall understanding of the business operating environment, business goals and objectives for the prevailing period
  • Demonstrate professional and ethical behaviour in your actions by ensuring compliance with external legislation, bank standards and internal operating policies and procedures

SKILLS

Must have

  • 5+ years of expert knowledge in Calypso Front office, ERS and FO Workstation modules
  • Strong experience of Pricing and valuation of IRD, MM and Credit derivatives
  • Experience of Interest derivatives product configuration, market data and trade life cycle activities
  • Strong hands-on experience in FO configuration around booking models, pricing env, pricer config, and Curve setup
  • Good knowledge on configuring Official PL reports for IR products
  • Experience in PL Varis
  • Experienced in functional and technical requirements gathering / documentation
  • Excellent financial markets knowledge of IRD products like Swap, Xccy, Swaption and also exotic products like range accruals, structured products
  • Comfortable with planning execution of User Acceptance Testing
  • Technically minded with some SQL/UNIX and FpML, XML knowledge

Nice to have


• Experience in other capital market platforms like Murex etc

• Good knowledge of FRTB Standards, VaR, ES

• Good knowledge in Fixed Income, Money market products

• Experience with working in LCH Swapclear, Markiwire, Trioptima

• FRM, CFA or CQF certified

• Experience with Calypso versions from 13 and above



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