- Development of relevant pricing models & quantitative tools for Credit and interest rates forex hybrid businesses.
- Review & upgrade of existing pricing/simulation frameworks to new business needs.
- Follow-up of model validation procedure & integration within systems.
- Support to Trading, Structuring & Sales on product description, model calibration/running & hedge calculation/optimization.
- Support to Risk department on model validation tests, stress scenario definition & regulatory indicator calculation/simulation.
• Global motivation:
- Streamline processing of requests & increased interaction with Trading, Structuring & other teams.
- Further technology watch & model improvement according to new market practices.
• Credit business:
- Modelling & pricing of exotic & structured bonds, typically Additional Tier1 & Coco bonds.
- Development of competitive Gap risk assessment & monitoring tools (a correct handling of such a risk is critical for the fair valuation & management of digital credit structures).
- Implementation of alternative default intensity model, as requested by Risk department in order to prevent unexpected negative intensity scenarios.
• Rates-Credit hybrid business:
- Review & upgrade of Generic Pricer tool in order to properly integrate Credit asset class & correlate it with other asset classes.
- Development of appropriate calibration tools for Credit asset class within a hybrid framework.
- Description, implementation and testing of new requested hybrid payoffs.
Main internal & external relations:
- Internal (Credit & IR FX Front-Office): Trading, Structuring & Sales.
- External: IT & Project Management division, Risk & Equity Markets departments (as needed).