Our client is a renowned international asset management frim, and currently looking for a well-experienced candidate with Quant Finance background for their Derivatives Valuation Specialist role.
Mark-to-Model valuation of (il)liquid vanilla and esp. exotic OTC derivatives (with underlyings in equity, interest rates, credit, inflation, etc.) and illiquid fixed income structured products by applying advanced pricing techniques run onto a QuantLib based valuation engine/pricing library in C++
Execute of daily time-critical NAV relevant operative processes for the mass production with the in-house pricing library
Optimize operative processes front-to-back along the asset management value chain with the aim of delivering excellent service for internal clients, partners and investors
Closely work with parties across locations in the EU, US and AP (Risk Management, Investment Compliance, Legal, etc.), the servicing of internal clients (Portfolio Management, Distributions, etc.) along with relationship management.
Involve in new product approval processes with respect to the valuation of bespoke complex assets (esp. within the Alternatives space)
Math/Quant Finance, Financial Engineering, (Financial) Mathematics, Quantitative Economics, Physics or alike with strong focus on advanced analytical techniques
7+ years of relevant professional experience, preferably in the valuation unit of an asset manager, consultancy firm or a bank, including profound knowledge of advanced quant finance stochastic models for valuing esp. exotic derivatives with non-linear payoff structures (e.g. barrier options, autocallables, swaptions, cliquet options, options on IRS, TRS, CDS, hybrids, etc.)
CQF and FRM certs are plus
Programming skills incl. experience in process optimizations and model implementations in advanced programming languages like C++, C#, Python, Java, SQL, etc.
Good to have experience with open-source pricing libraries such as QuantLib