Valuations – London recruitment
The team provides technical support and valuation governance group within Product Control and which addresses complex valuation issues and management reporting across businesses within the Investment Bank. The successful candidate will have a good understanding of derivatives, including knowledge of more complex and exotic products with good understanding of pricing methodologies.
Key responsibilities:
-Consideration of complex valuations and appropriateness of booking methodologies
-Participation in the product valuation governance process
-Collaboration with Senior Management, Risk Management and Model Development to highlight valuation risks inherent in current methodologies
-Design/evaluation of valuation adjustments and calibration methodologies
-Reporting of valuation issues
-Review and implementation of independent price testing methodologies
-Model Reviews
-Review of Price-Testing methodologies
-Review of Price-Testing impact tolerance ranges
-Valuation Adjustments and Governance Policy and Reporting
Skill / Experience
-Strong analytical skills and a proven track record at problem solving.
-Strong analytical and mathematical skills
-Understanding of modelling concepts (Numerical modelling, Monte Carlo) and issues in Stochastic Calculus.
-Strong Excel and VBA Skills
-Strong communication skills
-Working knowledge of derivatives pricing models
-Knowledge of complex exotic products
Education / Qualifications
-Degree in a numerate subject or equivalent.
-Relevant MSc and / or PhD or equivalent
Personal Attributes
-Focused on detail with an analytical mindset
-Self motivated and enthusiastic
-Looking to develop and leverage an internal network
-Able to take initiative