VALUATION CONTROL - LEADING INVESTMENT BANK - NEW YORK!!!

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Alexander Chapman
  • 21 Mar 19

Very interesting opportunity with a LEADING INVESTMENT BANK in NEW YORK who are looking for a Associate/AVP to join one of their Valuation Teams.

Primary Responsibilities 
Seeking a strong quantitative candidate for the Valuation Control team covering the Rates business. The candidate will be primarily responsible for execution, management, coordination, and delivery across multiple fixed income portfolios. 

- A successful candidate will be able to manage interest rates valuations to ensure compliance with FAS 157, fair value accounting policy and valuation controls as well as responsible for setup and consolidation of valuation results for the Interest Rates Group.

- Work closely with strategy/modelling teams to conduct model certification including review and assessment of complex mathematical models used for valuations of exotic derivatives and other financial instruments, assessment of valuation methodologies, testing of valuation tools, identification and resolution of valuation discrepancies, and communicating assessments to senior management and challenging model developers.

- Utilize proprietary models, Bloomberg, etc. to derive market based prices for interest rate products

- Work closely with traders and risk management to resolve pricing disparities, substantiate significant mark ups/downs, and report valuation review results to senior management. 

- Liaise with Global Product Control to validate P&L and understand new transactions. Perform production and policy review regarding the firms quarterly FAS157 accounting disclosure.

Qualifications

Skills required
The ideal candidate will possess experience with direct working knowledge of derivatives, including both vanilla and exotics. Strong academics required with preference for an advanced degree in a quantitative discipline, e.g. financial engineering, statistics, mathematics, physics or engineering.
Personal skills:

- Ability to work effectively as a member of the team and independently.
- Effective in managing relationships at all levels.
- Strong written and oral communication skills. 
- Proven problem solving and trouble shooting skills. 
- Control-minded with strong attention to detail. 
- Work effectively under pressure when confronted with tight deadlines. 
- Ability and willingness to adapt to new challenges in a dynamic environment

Technical skills:

- Strong academic knowledge of linear financial products pricing (Forward, Futures, IR Swaps etc.) required

- Strong academic knowledge of option pricing models (Black Scholes, Binomial), volatility smile, curve construction required
- Familiarity with option Greeks, their interpretation and graphs required

- Experience manipulating large datasets and running quality checks/ analysis

- Past or current positions with exposure to financial products pricing is a plus
- Working experience in VBA, SQL or Python is a plus

- Exotic Rates experience a plus
- Current participation in the CFA, FRM or similar programs is a plus