IR Valuations IPV Contractor
You will be responsible for Linear and Non-Linear G10 Rates, some Emerging Markets Valuation Control.
The Trading business within Macro comprises trading and market making in Linear, Non-Linear and Hybrids interest rates, long dated FX and rates hybrids products.
Responsibilities include: conduct month end price testing (IPV) of products and model inputs, covers flow and structured portfolios globally, including linear, non-linear and hybrid products. Detailed analysis of the calibration and re-calibration of pricing models (SABR, SVBGM), reserving, fair value principles.
Familiarity with derivative instruments (fixed income options IR derivatives, FX, and credit derivatives / exotics). Background in IPV or Interest Rates, Front Office or Structurer preferred. Pricing sources methods experience useful.
The client offers extensive contact with the business and the chance to learn highly exotic trades
To £500/day. The client can only offer 3 months contract with likelihood of renewal.
Contact I.T.S City
To talk directly with us to discuss this vacancy and the client, please contact Gary Williams on:
Email: gary@its-city.com
Direct Line: +44 (0) 203 176 6646
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