The position is responsible supplying analysis and experience of front-office areas Pricing, Risk (Greeks) and P&L of derivative products Futures, Forwards, Swaps and Options. The position will work primarily for the Front Office but the scope can be larger at times (covering requests from Risk and Finance/BAC notably).
Our Goal and Mission
VTB Capital’s goal is to be Russia’s Investment Banking powerhouse. We want to be the firm that is a natural choice for all Russian Investment banking and asset management products. A choice our clients around the world make routinely and with confidence.
Our mission is to exceed client expectations by providing first class financial services. To create value for the benefit of our clients and for economic and social progress globally.
Calypso is used as a strategic trading and risk system at VTB Capital and it is therefore essential that candidates have strong experience working with Calypso. It will be required that the candidate becomes familiar with hands-on configuring the system as part of this position.
The position will have 3 main types of assignments:
- Projects: perform analysis, workload estimates, business specifications, proof of concept, documentation, unit testing, coordination of regression testing, coordination and support of UAT
- BAU: various analysis and set-up tasks (new risk report, new pnl reports, new products (as part of New Business forum)), management of priorities in the book of work with FO/BM, coordination of bug fix with the vendor, etc.
- Second level support: assist Calypso support team with tasks that require specific Front office business knowledge: pricing issues, risk and pnl reports, Front Office spreadsheet (IWS), Interest Rate curve set-up, etc
- Managing delivery time frames in line with business priorities and delivery dates
- Discussing and agreeing requirements with users
- Developing business specifications and UAT plans
- Project management
- Provide analysis, priority and support for developers
- Coordinating requirements development with users and other support departments
- Producing detailed reports to vendors for bugs resolutions
- Organising users acceptance testing (UAT)
- To be aware of and familiar with the firms risk policies and procedures
- Perform the role of IT Service Manager for designated IT service(s) as agreed with (and fulfilling the responsibilities set out by) the UK & International CIO
- Where assigned as IT Service Manager, ensure that the IT Service is adequately provisioned to the business’s requirements and to VTB Capital global & local IT standards. Also ensure that regular reporting on service performance is available to London IT management and that the required oversight is in place to ensure that poor service performance is addressed / escalated in a timely manner
Key Competencies & Qualifications
- Investment Banking Front Office experience 5 years +
- Deep knowledge of Capital Market financial instruments
- Solid understanding of Calypso
- Pricing of derivatives forwards, futures, swaps and options
- Forward curve and volatility surface construction and usage
- Risk and Sensitivities for derivative trading, Greeks
- Products life-cycle – front-office to back-office
- Project management and Presentation skills
- Quantative and Mathematical analysis
- Software development and management
- Excel and VBA development and maintenance
- Knowledge of issue and bug tracking systems
- Personal resilience
- Fluent English
- Career-committed and well-motivated for both personal and professional growth
- Bachelor’s degree or equivalent preferred
- Any IT certifications relevant to the role.