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Job Description Product Control and Governance, part of Group Risk Management, is responsible for P&L Reporting and Attribution, P&L Reconciliations, Valuation Controls, Market Data and Book Control and Structured Products governance.This successful candidate will be responsible for ensuring the quality and timeliness of market data used by the bank's treasury systems are of a high standard. He/she candidate will lead a team of up to two junior staff, covering fixed income, credit derivatives, rates and commodities
Responsible for market data processes which includes commodities, credit derivatives, rates and fixed income. The market data process involves extracting, reviewing, cleaning and uploading volatilities and rates into the Bank's various trading systems
Review and document the various intermediate rates computations (multi-curve bootstrapping, commodity forward curves, FX, interest rate and commodity volatility curve building) performed by the Bank's Treasury system (MUREX, WSS)
Liaise with Front Office/Market Risk/ Counterparty Credit risk to understand their data requirements and subsequently with market data vendors (SuperD, Bloomberg, Reuters) to source for required market data
Recommend to Front Office viable proxies to illiquid rates (bond option volatilities, illiquid single name CDS spreads)
Participate in strategic projects to consolidate and automate the market data process
Guide up to two junior market data analysts
A degree in a numerate subject such as engineering, statistics or mathematics. Candidates with strong academic results from other disciplines may be considered
5 - 7 years of experience in the market risk/product control/middle office with emphasis on any of the following product classes, credit derivatives, fixed income, rates, commodities
Experienced MUREX user able to create curves and surfaces
Hardworking and a team player
Candidates may have work on public holidays to support overseas branches