- BV/BY tool developed in Python and leverage libraries from vendors such as Intex and FINCAD (calculation description attached)
- Resource profile:
- Fixed-income modelling knowledge, structured product and fixed-to-floating model knowing is beneficial.
- Diagnose differences between prop BV/BY and Aladdin Premium BV/BY model
- Independently work with Blackrock calculator team to determine if differences are due to model, accounting inputs, cashflow inputs, or other security terms and conditions inputs, etc.
Skill level
- Quant: Intermediate, build recent or enhance existing models with guidance, translate business asks into quant solutions, work across functions. Good understanding of financial instruments (FI in our case) and risk model
- Technical: Intermediate, expert python, SQL, strong data analytics, architectural design/performance optimization, scalability, etc.