TQUKE0803_5098 - Business Analyst Intermediate

•            Solid understanding of quantitative modelling techniques and practical experience with derivative pricing in one or more asset classes (at least interest rates and FX) is mandatory.

•            Experience with specification of curves and/or xVA’s.

•            Experience with building (risk) reports and experience with communication around (mathematical) complex issues at management level is a major plus.

•            Knowledge of some key vendor packages, and some frequently used programming languages (C#, Python) in the risk and/or valuation domain is mandatory.

•            Business Analysis and writing specifications and business documentation.

•            Excellent business understanding of standard Front Office, Middle Office and Risk Management area activities and processes.

•            Business Analysis and writing specifications and business documentation.

•            Knowledge of frequently used programming languages (SQL, C#, Python) in the risk and/or valuation domain is an advantage.

Tasks to be performed:

•            Participate in the analysis and implementation of a new derivatives valuation system in the Finance Directorate, which will be used by Front Office, Middle-Office and Back-Office.

•            Independent valuation of (complex) derivative instruments.

•            Implement tools & models for valuation of financial instruments, in collaboration with other members of the team and with the vendor’s team.

•            Actively contribute to the set-up of intraday and end-of-day curves (including amongst other, identification of the needs, identification of the underlying quotes/instruments, gap analysis of the market data available in the current source systems, preparation and follow up of the procurement process for missing market data, validation etc.).

•            Actively contribute to the model and methodological enhancements of the current xVA framework as well as validation of the implemented enhancements.

•            Proactively participate in the implementation of CCR metrics (PFEs etc.).

•            Identify new areas for further development.

•            Detailed Business requirement analysis based on the high-level analysis and formulating value propositions.

•            Solution design, supporting prototyping.

•            Test and documentation.

•            Support day-to-day activities linked to the validation of NPVs for margin calls.

•            Preparation and presentation to the project stakeholders of reports on the work done.