Senior Valuations Consultant, Derivatives
Founded in Chicago in 1889, Northern Trust is one of the world’s leading financial institutions. We specialise in providing asset servicing solutions and asset management to both institutional and personal clients. The delivery of products and services to this client base is supported through a network of offices around the globe.
Job Description
Global Derivative Operations supports Northern Trust Custody and Investment Operations Outsourcing clients across the full range of Exchange Traded and Over-The-Counter Derivative products (all asset classes), providing operational functions and interfacing between both clients and in-sourced derivative operational areas. Derivative Operations consists of Trade Capture, Trade Confirmations, Settlements, Client Services, Valuations Analytics, and Collateral Management services.
As part of our continued expansion within the Investment Operations Outsourcing space we now have an opening for a Valuations Specialist in the EMEA Derivatives Valuations Analytics team. This team has established itself as one of the finest in the department and has developed enhanced valuation services enabling a typical middle office valuation service which includes improved valuation controls; value added valuation reconciliations, valuation methodology dispute resolution, PnL attribution explanation of valuation differences between valuation sources, and develops new valuation support for new products and processes.
This role sits within the upper tier (SMEs) of EMEA Derivatives Valuations Analytics team where you will report directly to the Head of EMEA working on complex new business client on boards, complex valuation methodology disputes, and ad hoc projects – facing off to internal and external clients. You should be an experienced OTC valuations expert who has an excellent knowledge of all OTCs with a specific emphasis on Bond, Interest Rate and Inflation Derivatives. faces off to internal and external clients, producing daily valuation reconciliations, investigating valuation breaks with analytics, performing valuation testing, modeling trades in Bloomberg for independent analysis, working with valuation vendors, and working with the manager and the subject matter experts on new projects and products.
Knowledge/Skills
- Graduate/post graduate degree or equivalent in Accounting, Engineering, Finance, Mathematics is preferred
- Professional certification in the financial discipline – CFA and/or FRM
- Excellent knowledge of OTC Derivatives – (trading strategies, understanding long confirms, required trade economics for valuations)
- Excellent knowledge of Bond (Asset Swaps, Bond TRS, Inflation linked), Interest Rate and Inflation Derivatives would be very advantageous
- Excellent knowledge of valuation models (Black–Scholes etc)
- Experience of OTC curve construction and discounting methodologies (OIS vs Libor, spreads, etc )
- Understanding of volatility surfaces including ATM volatilities and historical volatilities for OTC options
- Experience using risk sensitivities – GREEKs
- Experience of OTC Bloomberg trade modeling
- Excellent excel knowledge (VLookups, IF functions, pivot tables, Macros, VBA)
- Understanding of new derivative regulations (Dodd Frank, FAS157, CCP etc)
- Confidence to challenge internal and external business partners where necessary
- Ability to work constructively under time pressure
- Ability to represent Derivative Valuations both internal and externally (including clients, and regulators)
- Excellent communication skills both written verbal
- Strong analytical and problem solving capabilities
- Strong attention to detail and commitment to maintaining a strong control environment
- Exceptional client relationship management skills
- Ability to understand key market drivers that will affect the theoretical value of Derivatives instruments.
- Ability to understand and articulate complex Derivatives 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 trade life cycle and process flow from trade capture to valuation to settlement to collateral management
Major Duties
- Reconciling client portfolios on a daily basis for large P/L swings and MV breaks between IM’s and counterparty’s
- Modeling and researching daily valuation breaks for all OTC products
- Analyzing ISDA confirms and term sheets and working with internal and external partners to ensure proper trade capture
- Working with internal partners to understand client requirements and building work stream processes for new clients being on boarded
- 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
- Collate prices for non vanilla OTC products by completing and processing required templates for independent pricing vendors
- Work with independent pricing vendors to obtain prices for new client OTC derivatives and to build a better understanding of their pricing models
Northern Trust Corporation (Nasdaq: NTRS) is a leading provider of investment management, asset and fund administration, banking solutions and fiduciary services for corporations, institutions and affluent individuals worldwide. Northern Trust, a financial holding company based in Chicago, has offices in 18 U.S. states and 16 international locations in North America, Europe, the Middle East and the Asia-Pacific region. As of December 31, 2012, Northern Trust had assets under custody of US$4.8 trillion, and assets under investment management of US$758.9 billion. For more than 122 years, Northern Trust has earned distinction as an industry leader in combining exceptional service and expertise with innovative products and technology.
We seek qualified people for a wide range of challenging positions and who are interested in building a career with a global growth company, excel in a team oriented environment, yet respect others and have strong values and principles. Northern Trust is an Equal Opportunity Employer and is committed to building a diverse workforce. We ensure our policies guide our behaviors to create and maintain a discrimination-free workplace. We support total diversity: gender, age, race, religion, sexual orientation, gender identity, ethnicity, physical disabilities, and marital/family status, among others.
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