Job Description
Department Overview
The Finance department covers Product Control and Financial Control which are jointly responsible for the integrity of the financial records.
The Independent Valuations Group is part of Product Control and is responsible for dealing with valuation related issues arising with the firms trading portfolio. The group liaises with front office and risk management teams on valuation issues for existing and new trades and model-related issues. The group also works closely with the other areas within product control on provision methodology, design, and implementation.
Main Function
To ensure that the firm's derivative portfolio is appropriately valued, based on a combination of analysis of market data inputs, model calibration / other non-market parameters, and review/assessment of the pricing models and methodologies used at both a portfolio and individual trade level.
Main Duties
Part of a team engaged in the following:
- Price testing to consensus, exchange, broker, or other data of pricing inputs and model outputs for exotic equity derivative products
- Calculation of applicable fair value / model reserves for exotic equity derivative products
- Review new models from valuation perspective to provide approval as part of the model validation process
- Investigation of pricing / model uncertainty in methodology and parameters used, testing model calibration employed
- Dealing with product control, risk management and quantitative departments on valuation and modelling issues
- Discussing price testing results, fair value and model reserves, general modelling issues / uncertainties with front office and reporting on suitability for specific products / markets
- Significant involvement in ad hoc projects / investigations
Person Requirements
- Previous exotic derivatives experience (preferably equities) in a valuations, trading or risk management role
- Strong product and market knowledge in relation to derivatives and related valuation / risk management
- MSc in quantitative discipline
- Strong IT skills (preferred exposure to VBA, C++, SQL, Python, other...)
- Ability to work independently to resolve unstructured problems
- Ability to interact confidently with FO and other quantitative departments of the bank in discussing pricing and modelling issues
- Excellent presentation and communication skills
- Ability to clearly present arguments and defend views under challenge from others
- Strong team player
If you have the relevant experience, please send your cv to shivani.bhalla@tomrecruitment.com
Key skills: IPV, Valuations, VBA, modelling, Price Testing
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