Middle Office Analyst Derivatives

What you will do
Derivatives Middle Office provides daily comprehensive monitoring of market activities
which revolves around three themes:
- Monitoring exposure and market risks incurred by trading portfolios
- Calculation and publication of daily results
- Support and assistance for derivatives traders

Monitoring exposure and market risks:
The Middle Office analyses all transactions processed the previous trading day (transactions in over-the-counter or concluded on organized markets ). It monitors daily variations in the books and measure the impact on various risk factors. It studies the overall exposure of profit centers and their sensitivity to market fluctuations especially through a VAR /STRESS TEST analysis. It ensures compliance with the limits delegated to “Trading” and provides the management with indicators.
Calculation and publication of daily results:
The Middle Office measures the daily unit performance and exercise control over the consistency of information available: characteristics of individual operations and valuation parameters. He is in charge of validating valuation curves or "MTM" retained by traders (consistency check on price structures and comparison with external sources for the most liquid indices). It sets each day the overall outcome of each profit center and reports to management.
Support and trading support:
The middle office financial analyst also participates in the development and validation of information systems in collaboration with IT teams and financial engineering (testing and validation of the transaction pricing models, exposure tracking tools). It supports the traders through statistical analysis, quantitative performance of different trading strategies undertaken and develops management support tools.
The candidate will participate to the daily tasks described above and will analyse and implement new risk tools for management and traders.

Your profile:
You should hold a Master’s degree in one of the following areas: Quantitative Finance / Financial Engineering with a solid quantitative basis and knowledge of derivatives and modelling of stochastic processes.
You have high level Python programming skills combined with excellent mathematical background. Excel proficiency, SQL database & VBA required.
You have knowledge in commodities market and derivatives instruments (option pricing models / swap / future).
You are operationally responsive and able to work in project mode.
You know how to work in an evolving environment where pressure and urgency are daily occurrences.
You have an analytical mind that allows you to have a thorough comprehension of trading and marketing activities and to present complex problems in a precise and concise way.
You fluently speak English. Ability to speak French will be an advantage.
You thrive working as a team player, you have excellent attitude towards work, being resilient, and goal oriented with a keen willingness to learn.
You are an effective communicator with the ability to establish strong relationships with key stakeholders.
Ability to work under pressure, in emergency and doing multi-task altogether.

Context and environment
The position is at the interface between the Front Office, the Finance department and the company's management. The Middle Office works in a demanding and particularly reactive environment, which requires an excellent vision of the Derivatives Trading activities. Through recurring tasks, one-off studies and developments, this position offers a varied and dynamic work environment linked to the diversity of financial operations and market fluctuations.