IR Valuations IPV

You will be responsible for Linear, Non-Linear, Hybrid Rates and long dated FX across EMEA, US APAC.

Responsibilities include: conduct month end and exit 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), model reserving, fair value principles.

This role is less about production and more about analysis so a technical mind would be useful.

Familiarity with derivative instruments (fixed income options IR derivatives, FX derivatives / exotics). Background in IPV for 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

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

May 28, 2013 • Tags: , • Posted in: Financial

Leave a Reply

You must be logged in to post a comment.