Porto, Portugal
Within the Risks department and the IPV Complex Marking team: - Maintenance and evolution of in-house application in C# for calibrating financial market parameters from pricing models and computing risk measures and P&L impacts - Batch files edition for processes automatization
Within the IT CIB department and the Equity Pricing Library team: - Maintenance, evolution and support of in-house pricer in C++, correcting pricing differences with commercial pricer (Sophis) and adding new pricing models - Evolution of internal API in C# for generating xml files containing all data needed for pricing an instrument under the in house pricer - SQL queries for selecting instrument perimeter and batch scripting for running automated non-regression tests between commercial and in house pricer - Recruitment and formation of 5 new comers to the role of IT Quant - Giving conferences on financial markets to new comers
- Inter-dealing equity and index derivatives products for investment banks - Meeting clients and developing relationships - Prospecting new clients - Collecting client orders and working orders on the market - Looking for the best execution on volatility and delta one products - Closing trades and sending confirmations - Keeping report on stock dividend futures levels up to date and sending it to clients - Programming VBA macros with Bloomberg API under Excel
- Inter-dealing equity and index derivatives products for investment banks - Meeting clients and developing relationships - Prospecting new clients - Collecting client orders and working orders on the market - Looking for the best execution on volatility and delta one products - Closing trades and sending confirmations
- Inter-dealing equity derivatives product - Calling market makers for getting bid/ask prices - Sending trade confirmations - Following and computing P&L
- Borrowing and lending securities on the interbank market - Developing relationships with counterparts - Managing books of thousands of equities - Checking for positions to be returned - Writing and sending trade confirmations - Taking care of trades settlement - Following and computing P&L - Programming VBA macros for database queries with SQL under Access