Senior Consultant, Derivatives Valuations
Scope of Work
The Operations department supports Northern Trust Custody and Operations Outsourcing activity, Fund Administration clients across the full range of Derivative products (all asset classes), providing operational functions and interfacing between both clients and in-sourced derivative operational areas. Derivative Operations comprises teams covering trade support, processing and reconciliation.
As part of our continued expansion in the derivatives area we now have an opening for a Sr Consultant, Derivatives Valuation in the Derivatives Operations Valuations Team.
Northern Trust is rapidly expanding the number of clients supported under the Operations Outsourcing services (covering trade capture, full active lifecycle management, reconciliation and valuation).
As part of this expansion Northern Trust is looking to establish enhanced pricing / valuation services, specifically enabling improved tolerance checking processes and improved scrutiny of independently sourced OTC pricing. This role is to initially support pricing / valuation processes for Northern Trust clients and then to work as part of the wider global pricing team, giving pricing support to clients under a new strategic OTC model.
Duties
• Handle the day to day operations and escalations within the derivative valuation team. Build tools to reconcile client portfolios on a daily basis and indentify large P/L swings and MV breaks between IM’s and counterparty’s.
• Work with internal partners to analyze ISDA Confirms and term sheets and working to ensure proper trade capture
• Working with Internal partners to understand client requirements and building work stream processes for new clients being onboarded
• Providing to clients explanatory’s on market value breaks or differences in valuation methodologies
• Work with global counterparts to ensure adequate coverage and all outstanding client queries are answered in a timely manner
• Work with Northern Trust relationship managers to resolve any client queries or valuation challenges
• Hold Monthly Meetings with relationship managers and clients to better understand client valuation requirements, trading strategies, and new prospective derivative instruments
• Examine current processes and provide new Ideas and added value services which could enhance client relationships and product offerings
• Identify knowledge gaps where team training needs to take place and build the valuation knowledge space within direct reports.
Knowledge / Skills required
• Extensive knowledge of structured OTC’s (trading strategies, understanding long confirms, required trade economics for valuations)
• Extensive knowledge of valuation models (Black–Scholes, Hull- white, 2 and 3 factor models, Bermudian
• Understanding of OTC curve methodologies and construction (OIS vs Libor, dual vs single boot strap, instruments used in curve construction on the front and back end and inflation swap methodology
• Understanding of volatility surfaces including ATM volatilities and historical volatilities for OTC options, FX and equity volatility swaps)
• Extensive knowledge of GREEKs (Delta, Beta, Rho and how they are used in analytics
• Extensive knowledge in the construction of sensitivity measurement such as dollar value movement, effective duration
• Thorough understanding of OTC Bloomberg trade modeling for (IRS, Cross Currency, CDS and structured products
• Excellent excel knowledge (VLookups, IF functions, pivot tables, Macros and the ability to use VBA to construct valuation models and P/L ladders which can be used a research tool.
• Understanding of new derivative regulations (Dodd Frank, FAS157 and the impact of centrally cleared products on the valuation space
• Confidence to challenge internal and external Business partners where necessary and escalate proper issues to their management team.
• Excellent attention to detail
• Ability to work constructively under time pressure and delegate
• Ability to represent Derivative Valuations both internal and externally (including clients, and regulators)
• Excellent communication skills both written verbal
Qualifications
• 3-5 years of experience with OTC products and systems pricing / valuation required. Knowledge would ideally include; Both Cash and Derivatives Markets in: Credit, Equity, Commodity, Fixed Income and FX OTC products and Risk Models
• Graduate in an Analytical area (ie Stats, Maths, Finance, Science) preferred.
• Performance will be measured on the managers ability to train and grow his or her team thus the ideal candidate will have the ability to teach complex derivative models and products
• Understanding of key areas of risk that could affect valuations – model risk, execution risk, etc
• Having experience for any of: Investment Bank (Prop or Market Making), Hedge Fund, Fund Manager, Rating Agency
• Proficient in Microsoft Excel, macros Access databases, as well as Bloomberg
• Understanding of custodian and operations outsourcing business
Our culture is a key reason our employees enjoy working at Northern Trust. We have strong principles, a diverse organization, a prestigious history, and a commitment to solid and steady growth. We embrace industry-leading ideas and value our people. We are approachable, friendly, and exceptionally committed our clients and employees. To apply for this exciting opportunity, please click on the Apply link below.
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