OTC Derivatives Valuations
My client is a leading investment bank based in the heart of London, they are currently recruiting for a OTC derivatives Valuations analyst to join a busy team that looks after all products vanilla and structured.
The overall purpose for this role will be the first line of support for the production of valuations and valuation queries for both internal and external clients and they will also act as one of the subject matter experts within the business for derivatives lifecycle management and valuation.
Responsibilities
· Provide independent valuation services to internal and external clients across a variety of OTC derivative products including credit, equity, interest rate, FX, inflation, commodity, and property derivatives.
· Responsible for daily market data capture, validation, and calibration across all data types required for modelled valuations including quantitative and qualitative adjustments.
· Be responsible for producing, analysing and verifying valuation movements within client portfolios on a daily basis with reference to wider market activity, trade events, and sensitivity analysis. For some clients, this will also involve comparing and analysing OTC valuations across multiple sources and the candidate should be able to clearly articulate the cause of any valuation differences to our clients’ middle and front offices.
· Assist with the roll out/support for new derivative products from a valuation and lifecycle management perspective including benchmark and back testing as part of the model validation process.
· Initiate and deliver analytics around the valuation service including management information.
· Establish and develop strong relationships with both internal and external clients.
· Assist with the on boarding of new clients onto the service.
· Assist with requirement definition and testing related to strategic projects on the Calypso and DerivClear platforms.
Experience/Skills
· Investment Banking or Asset Management background from a middle office/product control environment.
· Minimum of 4 years hands on technical experience across a range of OTC derivative products. This must have included exposure to one or more of valuations, price testing, modelling, and PL analysis.
· Must have an ability to explain a valuation by analysing its constituent parts and how it is calculated. Knowledge required across several asset classes but is critical for IR derivatives.
· Must understand valuation sensitivities i.e. PV01, Delta, Gamma, Vega etc and how these are generated.
· Must have a full understanding of the lifecycle of derivatives and be able to investigate and explain valuation movements using sensitivity-based analysis.
· Ability to establish credibility and build strong relationships with clients.
· Excellent communication skills with the ability to present information in a concise and informative manner.
· Self-motivated, demonstrates initiative, innovation, and solid problem solving skills.
· Good working knowledge of Calypso or other derivative risk management systems.
· Very strong IT skills, in particular Excel. VBA knowledge would be an advantage.
Please outline application to Amit Jain.
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