Valuations/Technical Quantitative Analyst
Job Description:
The team is a technical support and valuation governance group within Product Control, which addresses complex valuation issues and management reporting across businesses within the Investment Bank.
The Role
The individual will primarily be involved in working on issues relating to Credit Emerging Markets but willingness to perform cross-cluster work is important.
Major Responsibilities include:
- 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
Core tasks:
- Model Reviews
- Review of Price-Testing methodologies
- Review of Price-Testing impact tolerance ranges
- Valuation Adjustments and Governance Policy and Reporting
Education/Professional Qualifications
- Masters degree in relevant Quantitative (mathematically focussed) discipline
Background
- Good understanding of derivatives, including knowledge of more complex and exotic products.
- Good understanding of pricing methodologies.
Technical/Business Skills Knowledge
- 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
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