Head of Credit Derivatives, Pricing and Valuations recruitment
The group is looking for a product team lead with a strong understanding of credit derivatives markets and experience in the valuation of vanilla and structured credit derivatives.
Taking responsibility for all aspects of the valuation of credit derivative products for clients, including:
- Leading and managing the product development for all vanilla and exotic credit derivative instruments from the perspective of market data, analytics, client interface and commercials
- Leading a global team of credit derivative product analysts across NY, London and Singapore
- Applying best practice to the construction of survival curves, correlation skews, volatility surfaces and credit events framework
- Responsible for accurate and reliable valuation of vanilla and structured credit 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 credit notes and developing bespoke analytics for pricing non-standard exotic 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 credit derivative products against observable data
- Interfacing with existing and prospective clients to explain the business's commercial offering and valuation methodologies
Qualifications:
- Proven track record in pricing vanilla and exotic credit derivative products, with calibration to the traded markets, is essential
- Experience in CDO, CLN, FTD pricing models and mapping methodologies
- 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 CDS ISDA model, accounting for credit events and associated market conventions for trading and settlement
- Familiarity with the use of standard pricing models and calibration techniques in synthetic credit
- Strong Excel and VBA skills are essential
- Highly motivated and eager to take the initiative
- Strong attention to detail, both numerically and in written material
- Strong team lead in developing, driving and motivating members
- Willingness to be hands-on in dealing with requests, issues and queries relating to client valuations, analytics and market data
To apply or for more information, please contact trevor.symons@ojassociates.com
February 19, 2012
• Tags: Head of Credit Derivatives, Pricing and Valuations recruitment, Risk Management careers in the USA • Posted in: Financial