London: Quantitative Risk Portfolio Valuations (AVP/VP)
Quantitative Risk Portfolio Valuations
Location: London OR NYC
The Portfolio Valuations department provides an independent, post-trade valuation service to buy-side institutions globally, covering vanilla and exotic derivatives, cash instruments and structured notes across all asset classes. The service also offers clients the ability to receive an aggregated set of counterparty marks for their trades.
Requirements
4/5 years of experience coming from a role such as derivative valuations, model validation, quantitative risk, structuring. Pure Risk profiles are NOT suitable for this role
Experience in pricing models for vanilla and exotic OTC derivatives
Exposure to some market risk measures such as VaR methodologies (Monte-Carlo, Historic), sensitivities, greeks, stress tests and PL attribution
Strong analytical and problem solving skills
Proficiency in Excel, VBA, and SQL
Undergraduate or Master’s degree in a financial or quantitative discipline
Must be detail-oriented with ability to multi-task and to be able to use one’s own initiative to solve problems
Strong skills required to be able to communicate effectively with external clients and across business units within the company
Ability to function in a collaborative setting with other roles such as quants, operational analysts and developers
Responsibilities
The candidate will be involved in key analytical projects related to risk attribution across asset classes such as credit, interest rates, equity, and FX
Liaise and collaborate with cross-asset product and quant groups to establish asset class / instrument specific methodologies for the analytics
Participate in development and testing related to projects
Operate in a global environment across the projects
Provide technical pre-sales support to existing clients and prospects with regards to the projects
Please apply into the below Quantexotic link
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