Rates Valuation Controller recruitment
The Rates business comprises trading and market making in Linear, Non-Linear and Hybrids rates products. The role is within the Valuation Control – or “IPV” function that supports this business from within the Finance Product Control function. The role involves the validation of the final reported valuations of a wide range of financial products through independent price verification, reserving and model calibration. The results of this validation are reported through the organisation to Trading, Finance and Risk Management functions.
This individual will gain exposure to valuation issues and methodologies of both rates linear products (swaps, bonds, basis swaps, inflation swaps and options etc) and exotic and option products (caps floors, swaptions, bermudans, CMS and CMS spread options, Digitals, Vol bonds, FX structures, hybrids etc).
All Regions globally are supported from within the London based team.
- Testing of trader input prices and parameter levels against externally observed levels and quantification of marking level differences.
- Testing of Exotics model calibration effectiveness – evaluation and reporting of calibration differences across the existing portfolio.
- Assessment and generation of certain reserves required in the overall Fair Value process (Bid-Offer, model reserves, Day1 Reserves)
- Analysis, discussion and agreement of variances and methodology with Valuation Methodologies team, desk Risk Management.
- Reporting of IPV results and Reserves to both the desk and to central Finance IPV reporting team.
- Continuous improvement of methodology and results generation approach and process platform.
The area is seeing considerable investment in terms of development of IT architecture around the valuation and valuation control process – this represents an excellent opportunity to be involved in the development of control infrastructure at a leading Investment Bank.
The ideal candidate will combine the following skill sets:
- Strong mathematical/analytical ability
- Understanding of Risk and rates / FX / Hybrids products.
- Familiarity/Market experience with rates and fx derivative instrument pricing methods and sources.
- Computing skills including Excel. VBA, Microsoft Access skills would be advantageous.
- ACA/ CIMA an advantage.