Quantitative Business Analyst (Calypso) Job Details

• NAB - Wholesale Banking
• Sydney Location
• Dynamic team environment

Working within Wholesale Banking you will work as part of the Markets Business Technology Support Team within the Business Operations Group. As the Quantitative Business Analyst you will work on the integration of Fixed Income and Structured Products onto Calypso. The role will also involve working on a number of smaller initiatives and supporting Front Office Traders in their use of Calypso, while also:

• Explaining model behaviour and predictions
• Developing pricers / curves / models and implementing them in Calypso for pricing and risk management
• Prototyping models and products
• Providing timely and accurate analysis of quantitative risk issues
• Testing of pricing models and curves

To be successful is this role you will be a proven Business Analyst with skills and experience in the Calypso space. You must also have:

• Hands-on experience in developing quantitative models, building pricing models and / or quantitative analytics
• Experience in pricing, risk management and analysis of IR FI products such as Cap/Floor, FRA, Swap, Swaptions, Bond, Repo etc.
• Proven experience working with at least one established Financial Markets Trading Platform (Calypso, Murex, Wall Street etc.)
• Experienced at dealing with Front Office Traders
• Strong understanding of the practical application of Financial markets
• Good requirements analysis and design skills
• Strong documentation skills
• Good communication skills
• Highly numerate with a degree in quantitative finance, mathematics or engineering, preferably to Masters level
• Calypso - Front and middle office including good exposure to Risk and Analytics, building curves, volatility surfaces and pricing algorithms