Calypso Risk Consultant

Calypso Risk Consultant

Required Skills & Experience

• 5–10 years of experience in Capital Markets IT with at least 3+ years of hands-on Calypso Risk implementation.
• Strong knowledge of market risk, credit risk, and counterparty exposure management in Calypso.
• Expertise in risk analytics (VaR, sensitivities, stress testing, scenario analysis).
• Experience configuring simulation engines, exposure profiles, and risk limit monitoring.
• Good understanding of financial instruments and valuation methodologies across asset classes.
• Familiarity with Calypso architecture, data model, and APIs (Java).
• Strong problem-solving, analytical, and communication skills.
• Ability to work in a global delivery and cross-functional team environment.
  

Nice-to-Have Skills

• Exposure to regulatory risk initiatives (FRTB, Basel III/IV, SA-CCR, XVAs).
• Knowledge of collateral management, margining, and liquidity risk within Calypso.
• Experience integrating Calypso with upstream/downstream risk and reporting systems.
• Familiarity with DevOps/CI-CD frameworks and cloud deployment.
  

Key Responsibilities

• Partner with business stakeholders (Market Risk, Credit Risk, Treasury, Front Office) to gather requirements and deliver Calypso-based risk solutions.
• Configure Calypso risk modules including sensitivities, VaR, stress testing, PFE, limit monitoring, and counterparty risk.
• Support setup of risk measures, simulation engines, and exposure profiles for different asset classes (Rates, Credit, FX, Equities, Commodities).
• Work on risk analytics such as Greeks, sensitivities, scenario analysis, and back-testing.
• Define and configure risk limit frameworks and ensure integration with trade capture and P&L processes.
• Collaborate with quants and developers to integrate pricing/risk models and extend Calypso capabilities.
• Support UAT, regression testing, and production deployment of risk functionality.
• Provide ongoing troubleshooting of risk measures, calculations, and reporting discrepancies.
• Document functional specifications, best practices, and provide training/knowledge transfer to client teams.