Director of Interest Rate Derivatives Valuations recruitment
The company provides independent data, valuations and trade processing across all asset classes in order to enhance transparency, reduce risk and improve operational efficiency. Its client base includes the most significant institutional participants in the financial market place.
They are an entrepreneurial company and a fast-growing business. They continue to expand their presence around the world and offer exciting career opportunities
This exciting role is a Director level position within the Valuations group.
The head of Valuations is looking for a product team lead with a strong understanding of the interest rate markets and experience in the valuation of vanilla and structured interest rate derivatives.
Taking responsibility for all aspects of the valuation of interest rate products for clients, including:
- Leading and managing the product development for all vanilla and exotic interest rate instruments from the perspective of market data, analytics, client interface and commercials
- Leading a small team of interest rate product analysts across London, NY and Singapore
- Applying best practice to the construction of yield curves and volatility surfaces
- Responsible for accurate and reliable valuation of vanilla and structured interest rate derivatives in the automated and bespoke valuation frameworks
- Working with the technology group to incorporate pricing models developed by the quantitative analytics team into the automated valuation framework
- Interpreting and valuing structured interest rate notes and developing bespoke analytics for pricing non-standard exotic IR instruments
- Supporting the operational team in dealing with more complex client queries and providing expertise to the sales team to win new client mandates
- Specifying, testing and enhancing the existing analytics and technology framework to ensure accuracy and reliability of existing valuations and meeting client requirements
- Testing, calibrating and validating quantitative models for exotic interest rate products against observable quotes
- Interfacing with existing and prospective clients to explain the business’s commercial offering and valuation methodologies
- Requirements for applicants include:
- Proven track record in pricing vanilla and exotic interest rate products, with calibration to the traded markets, is essential
- Some experience in pricing Inflation and / or Bond derivatives is desirable
- Strong analytical, quantitative and problem-solving abilities
- Good undergraduate degree in a quantitative discipline is essential, probably followed by a numerical Masters (e.g. maths, physics or engineering)
- Practical understanding of the basics of mathematical finance and derivatives pricing
- Knowledge of best industry practice in constructing yield curves, volatility surfaces and pricing exotic interest rate products
- Familiarity with the use of standard pricing models and calibration techniques in fixed income markets
- Strong Excel and VBA skills are essential
This dynamic, entrepreneurial environment also requires someone who is ambitious, self motivated and a good natural leader.
Very strong interpersonal and communication skills are required, to deal with external clients and also the sales, quantitative and operations teams.
Keywords: Quantitative Analyst; Valuations; IPV; Pricing; Interest rates; Derivatives; Inflation; exotics; vanilla; London; UK
To apply please contact quantexotic@selbyjennings.com with CV in word format or call + 44 (0) 207 019 4137. www.selbyjennings.com