Associate – Valuations, Independent Verification (IPV) – Commodities – Top-tier Bank
JOB DESCRIPTION
We are working with a retail bank’s commodities valuations team, looking for highly quantitative analysts to calculate valuations and IPVs for commodity derivatives. This team works very closely with the bank’s global front office market risk teams. Their coverage includes soft commodities, metals, energy, agriculture, etc.
Location: Ohio, USA
Responsibilities:
- Automate the valuation processes using expert proficiency of VBA, including IPV of model-based derivative positions, and cooperating with front office quants to build new pricing and valuation models
- Calculate monthly valuation adjustments, conduct monthly IPV and review the model’s parameters and compliance of model guidelines
- Perform model and valuation methodology review by contributing to annual review, monitoring signals that capture model deterioration, and providing inputs on quantification of value uncertainty.
- Keep abreast of best practices in derivatives pricing and modeling issues
- Use VBA to develop tools that report price changes and trends as well as the PnL impact
Requirements:
- Minimum MS in quant discipline (mathematics, statistics, engineering, computer science, etc)
- Minimum1-3+ years industry experience in valuations and/or IPV
- Must have solid understanding of derivative pricing theory, valuation methodologies, etc
- Preferred: product understanding of commodities (but not necessary)
- Experience with development and maintenance of valuation tools and models using Excel/ VBA.
- Excellent communication skills (written and verbal)
- Computer skills: Excel, VBA; Openlink a plus
In Return:
- A huge opportunity to lead a team in a leading quantitative team in a top banking institution
- Very analytical and quantitative exposure
- Excellent opportunity for leadership role in mentoring junior members and leading as team’s senior quant
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
Confidentiality and utmost discretion is 100% assured.
Key words: Valuations, independent price verification, IPV, commodities, Modeling, Methodologies, Excel, VBA, Openlink , Ohio, USA
APPLY | risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
Search Consultant: James Friend
Contact Telephone Number: 310-807-5030
Linked In: http://www.linkedin.com/e/vgh/1615777
Website: www.G-Q-R.com
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Quant, GQR Global Trading, GQR Global Markets
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