Calypso developer with experience of Calypso v15 and good functional / FO knowledge to work on agile projects.
be part of the support and change team to build new modules and change existing modules
Strong exposure to the funcitonal side / Front Office / products definition
Must understand Trade lifecycle, Calypso functional modules and FO market data : volatility cubes and surfaces for product pricing in each currency.
Must also understand FO pricing models of the above (standard models).
Should also understand VaR and stress test calculations, in terms of downstream systesm leveraging vol surfaces and cubes.
Understanding of some greeks : Vega, Delta, Gamma and the sensitivity reports.
Nice to have
Good communication skills
Experience in other banks