Complex Pricing Valuation Analyst (AVP) recruitment
Background
Citi Complex Pricing is a global utility tasked with the independent valuation of Client held derivatives.
With Derivatives Analysts in Dublin and Roseland, this Group independently values OTC derivatives on behalf of Alternative and Long Only Funds. The Team supports Fund Accounting Ops in Dublin, Roseland, Boston, Bermuda, Edinburgh, Hong Kong and Melbourne.
The purpose of the role is to support Operations with derivatives valuation expertise across all asset classes.
As part of the Complex Pricing Group, the AVP Complex Pricing will be integral to the implementation in Dublin of derivatives valuation using Calypso Technologies Inc. valuation software.
This position requires an individual with exceptional business analysis and technical skills across a variety of applications and technologies, including an in-depth knowledge of derivatives and their valuation.
Responsibilities
- To work with an experienced Team of analysts to resolve derivatives pricing queries and create a pro-active problem solving environment.
- To assist with the accurate and timely delivery of the independent valuation of Clients' OTC Derivatives.
- To investigate and resolve valuation issues between independent vendor and Client / Investment Manager derivatives prices.
- To strengthen and support existing procedures and methodologies to ensure a supremely efficient independent valuation unit.
- To ensure the accurate valuation of Client held derivatives via Calypso valuation software:
To include -
- The documentation and implementation of the Calypso derivatives valuation workflow, from Client Order Management System, Middle Office to downstream accounting / collateral management systems.
- The documentation of daily Calypso operating and valuation procedures, to ensure the integrity and consistency of all Citi AIS in-sourced derivatives valuations.
- The daily production of Calypso generated derivatives valuations, their dispersal to downstream systems and investigation / resolution of valuation differences.
- Maintenance of the Calypso valuation workflow, to include system monitoring, pricing environment and market data maintenance, trade capture, and reporting.
- Production of data tolerance reviews and exception reports within Calypso.
- The review and validation of Calypso valuation models and risk measures within the system.
Requirements
- An in-depth working knowledge and professional experience of OTC derivatives and their valuation.
- An in-depth knowledge and professional experience of Calypso Technologies Inc. derivatives valuation software.
- First rate understanding and professional experience of cross asset class derivative valuation models.
- Working knowledge and experience of downstream accounting systems, such as Advent Geneva / Multifonds.
- Knowledge of and experience with centralised clearing systems such as DTCC, Swapswire, Markitwire.
- Professional experience in derivatives valuation, using independent OTC valuation providers, such as Markit / SuperDerivatives.
- Sound Middle and Back Office derivatives processing experience, to include client Order Management Systems, Middle Office Monitoring systems, Settlements, Custodian Funding, and Collateral Management.
Skills
Experience
- Proven track record of professional experience in the valuation of derivatives, either at an Administrator, Bank or Hedge Fund.
- Very High degree of numerical and analytical ability
- Ability to work to deadlines
- Ability to act independently
- High level of computer literacy
- Strong communicative and interpersonal ability
- Valuing diversity. Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.
Qualifications
- Higher Level / Professional Qualification
- Preferred Disciplines: Mathematics / Finance / Statistics
- B.S - Master in Quantitative Finance or Technical field
- Strong Qualitative Analysis Skills
- Sound Business Analysis Skills
- First rate Communication Skills
- Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience