Calypso Support Analyst

Job Title: Investments IT - Calypso Support Analyst
Duration: 6 months contract
Location: Remote (EST Hours)

Required Qualifications:
Bachelor’s degree in business, finance, or accounting field. Coursework experience in Math, Statistics, or Computer Science

Required Experience:

• Expertise with a front-to-back Calypso derivatives solution, including accounting, is a must. Preferably with an insurance industry focus.
• Ability to train and transfer knowledge to Client’s business and technology stakeholders.

Experience with the following is a plus:

• Experience working with a software vendor in a Business Analysis role or a functional back-office user role within the Insurance industry.
• Expertise in the support and implementation of the Calypso Back-Office system primarily in post-trade processing areas of Trade validation, Cross-Asset Accounting, Settlements, Reconciliations, Messages (SWIFT/Paper), Regulatory and internal reporting.
• Knowledge and functional experience in support of one or more of the following Asset Classes:

o   Foreign Exchange (FX)
o   Fixed Income and Money Market (FI/MM)
o   Interest Rate Derivatives (IRD)
o   FX Derivatives (FXD)
o   Credit Derivatives
o   Equities and Equity Derivatives
o   Commodities and Commodity Derivatives.

• Candidates with experience in the Market Risk area with knowledge of FRTB, VaR (Parametric, Monte Carlo, Historical Simulation), Back Testing, Stress testing, Sensitivities and Scenario analysis will be considered. Knowledge of market data providers.
• Hands on experience massaging or analysing data using tools such as Excel, SQL, or similar.

Sampling of Tasks Expected to be performed:

• Configuring Standard & Custom Interfaces within Calypso
• Setting up Quote Feeds from Bloomberg
• Set-up Holiday Calendar feed
• Set-up Interest Rate Curves & other market data
• Set-up Dividend Curves for Custom Index
• Set-up Equity Volatility Surface feeds
• Translate Historical Volatility of Volatility-controlled indexes to a Volatility Surface to be used in Calypso
• Set-up pricing configuration & pricing parameters
• Some end-of-day processing/monitoring needed