Category: Derivatives, Trading Analytics, and Risk [US Focused]
Objective: Develop Excel-based templates used by trading, structuring, and risk teams for valuation, sensitivities, and scenario analysis.
Scope: Options analytics (pricing and Greeks under Black-Scholes and, where appropriate, normal models), hedging evaluation for rates, credit, foreign exchange, and commodities, carry and hedge optimization, pairs trading analytics, and inventory and RFQ flow models. Risk analytics should support stress testing and scenario frameworks with clear mapping from market inputs to valuation and exposure outputs, including DV01, CS01, delta, gamma, vega, and convexity measures where applicable.
Deliverables: Workbooks with market data inputs, instrument conventions (day count, compounding, discounting, forward curves), valuation mechanics, sensitivity reporting, and controls to detect input errors and arbitrage violations. Include standardized reporting views for risk, P&L drivers, and scenario results, plus concise documentation of assumptions, limitations, and required data fields.
Standards: Numerical stability, transparent formulas, and alignment with desk conventions and risk governance.
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