AVP Rates Valuations Controller recruitment
To ensure that the firm's structured rates 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
The successful candidate will be expected to:
- Understand what influences the value of the products in this portfolio, how we can independently verify that the inputs to any model are reasonable, and quantify the impact of any differences.
- Discuss and explain the results to FO desk head or senior trader.
- Take ownership of reserve calculation and contribute to development of methodologies.
- Run manage processes by which we collect market data and compare it to our own positions, ensuring completeness and timeliness.
- Identify, drive implement standardisation automation of process where necessary.
- Interact with the wider valuation team and ensure a consistency of approach.
- Provide detailed results to the central global valuations team on a timely basis.
- Take responsibility for drafting of monthly Valuation Packs, summarising key valuation metrics, issues and conclusions.
Essential:
- Previous derivatives experience (preferably rates) in a valuations or technical product control role
- Strong product and market knowledge in relation to derivatives and related valuation / risk management issues
- BSc/MSc in quantitative discipline
- Strong IT skills (preferred exposure to some VBA or other programming)
- 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
Contact:
jamie.warner@hudson 0207 187 6313