Credit Suisse

Apply Now

Finance-Product Controller

Credit Suisse
Morrisville, NC Full time
Posted on September 3, 2017

Finance-Product Controller (Morrisville, NC): Calculate second order volatility reserve on forward starting Unlimited Downside options with periodic strike resets. Analyze impact of over-hedges primarily used to mitigate pin risk on Callable Yield Notes, Range Accruals, Asian Options & OTC Barrier trades. Analyze over-hedge changes in context of market & modeling requirements. Compute valuation provisions on Long Dated Single Stock option trades, & provide trading desks & bank regulators with rationales behind valuation provisions & adjustments. Utilize risk-based profit & loss (P&L) attribution for equity derivative products (EQD) & perform new transaction approvals & analysis using complex pricing calculators. Work on lifecycle of EQD exotic trades from origination to valuation per IFRS, US GAAP, local GAAP & P&L, & front-to-back trade reconciliations. Explain real P&L through usage of Taylor Series risks (Finance Greeks). Produce daily attribution of P&L based on Federal Reserve & European Central Bank instructions. Analyze balance sheet inventory in structured, corporative & LatAm trading books using trend analysis, supplemental to the daily P&L attribution process, with a focus on unusual movements & unauthorized trading detection. Conduct price testing of trading inventory according to market risk-parameters, implied volatility, forwards, correlation, volatility of variance & volatility skew. Req’s Bachelor’s degr plus 3 yrs exp. Please forward your resume to Credit Suisse, P.O. Box Y300CSNC, 220 W. 42nd St., 12th Fl., New York, NY 10036. No phone calls.

Apply Now

By clicking on the submit button, your information will be shared with this employer. You may be contacted from time to time regarding other opportunities that become available.