PnL Attribution Analytics - Fixed Income
Bangalore, Karnataka, India
INR 2000K-4500K (estimate) Mid-level Full Time
Tasks
- Adjust and sign off PnL attribution results
- Analyze PnL drivers
- Automate PnL attribution reconciliations
- Build threshold based alerts
- Compare portfolio valuations vs counterparty marks
- Coordinate with traders risk finance and technology
- Decompose risk factors for PnL attribution
- Improve valuation methodologies and data quality
- Investigate material PnL moves
- Maintain Greeks based risk sensitivities
- Monitor real time and end of day pricing
- Prepare performance attribution reports
- Produce exception reporting
- Reconcile pricing and valuations
- Review PnL attribution reports
- Test and validate pricing models
- Validate end of day marks
Perks/Benefits
- N/A
Skills/Tech-stack
Automated reconciliation | CS01 | Correlations | Credit Spreads | DV01 | Exception reporting | Factor Decomposition | Financial derivatives | Fixed Income | Gamma | Greeks | Performance attribution | Pricing models | Python | Rho | Risk Factor Decomposition | Theta | Threshold Alerts | Valuation | Vega | Volatility surfaces | Yield curves
Education
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