Job Description
Brief Description of the Organization
Citi, the leading global financial services company, has some 200 million customer accounts and does business in more than 100 countries, providing consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, and wealth management. Additional information may be found at www.citigroup.com or www.citi.com.
Description
Job Purpose:
A role is available for a
Calypso technical analyst / interface developer with strong analytic
and technical ability to work in London as part of the Middle Office
Services for Alternative and Institutional Asset Managers technology
team. This is a global team with staff based in New York, Dublin, London
and India.
Job Background / Context:
Middle Office Services
for Alternative and Institutional Asset Managers Technology is a
dedicated team that works with the Securities and Funds Services
business group within Citi Transaction Services (CTS). The team designs
software solutions that takes investments from front office trading
platforms and routes these financial transactions through the
accounting, risk management and settlement processes. Working within
this group exposes the individual to the complete middle and back office
processing lifecycle of equities, bonds and complex derivative
products.
Key Responsibilities:
- This person in this role will have the following responsibilities:
- Supporting the daily valuation of client held derivatives portfolios in Calypso 11 (currently upgrading to version 14).
- Support of market data reviews and exceptions within Calypso.
- Integrating new instruments, market data requirements and valuation testing within Calypso.
- Pricing environment configuration and market data setup, such as yield curves and volatility surfaces.
- Supporting internal and external valuation queries relating to Calypso.
- Supporting customized valuation reports.
- Providing oversight of the Calypso workflow in straight through processing and the impact on downstream accounting systems, collateral management systems and reporting feed generation.
- Working with the Quality Assurance team to ensure delivered software is accepted.
- Articulating issues/challenges to the project management with enough lead time to address project delivery risks.
- Solving issues forwarded from with first/second level production support staff to ensure continued successful operation of released software.
- Building relationships with middle office application users to understand any software problems and propose technical solutions
Qualifications
- An in-depth knowledge and professional experience of Calypso Technologies Inc. derivatives valuation software.
- First rate understanding and professional experience of cross asset class derivative valuation models covering interest rate, FX, equity and credit derivative products.
- Working knowledge and experience of downstream accounting systems such as Advent Geneva or Multifonds is highly desirable.
- Knowledge of and experience with centralised clearing systems such as DTCC, Swapswire and Markitwire.
- Professional experience in derivatives valuation using independent OTC valuation providers such as Markit and SuperDerivatives.
- Sound Middle and Back Office derivatives processing experience, to include client Order Management Systems, Middle Office Monitoring systems, Settlements, Custodian Funding, and Collateral Management.
- Sound business analysis skills.
- Extensive professional experience in the valuation of derivatives using Calypso.
- Should have understanding for APIs required to extend or add data to the Calypso system, and to build interfaces between Calypso and external systems (data uploader framework)
- Expertise in developing technology in support of pricing models and market data feeds which require on-going evaluation based on market fluctuations.
- Experience designing / building front-to-back trade capture and work flow processing systems will be especially valuable.
- Experience of working with XML, FpML is required.
- Experience of working with reporting framework and task scheduling.
- Solid working knowledge of and exposure to the Calypso admin tool and various Calypso engine logs.
- Experience of working on Calypso v14 (or v13) upgrade / migration projects is highly desirable.
- Candidates that do not meet all these qualifications will still be considered provided that they demonstrate the necessary skills and experience.
Qualifications:
- Higher Level / Professional Qualification
- Very high degree of numerical and analytical ability
- Preferred Disciplines: Mathematics / Science / Finance / Statistics B.Sc. or Master in Quantitative Finance or Technical field
Valuing Diversity:
Demonstrates an appreciation of a diverse workforce. Appreciates
differences in style or perspective and uses differences to add value to
decisions or actions and organizational success.
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