VP Valuations Risk – Credit Derivatives – Top Tier Bank recruitment
A senior position within the Quantitative Risk Valuation Group has become available at a top tier investment bank in London. Working as part of the Valuation Risk team, this quantitative role has significant cross over between Risk, Finance and Structuring teams. You will be responsible for the valuation and model calibration of credit derivative instruments to a consistent standard. Key to this delivery will be driving improvements to global model governance and oversight and signoff of complex valuation.
Main responsibilities will include:
- Assessing the Risk and Pricing models across a range of credit derivative products.
- Deconstructing, calibrating and tweaking models where and when necessary.
- Formulating complex valuations and risk measurement for new and complex products.
- Collaborating with Senior Management, front office quant and risk teams to improve existing methodologies.
- Main point of contact for trading and structuring teams regarding pricing and valuation issues.
Potential candidates will possess the following:
- Strong mathematical / scientific background preferably PhD in finance, mathematics or related field.
- Financial mathematics modelling knowledge.
- Understanding of exotic, derivative complex structured products including modelling model inputs.
- Credit Derivative products understanding.
- Financial mathematics modelling knowledge.
- Model comparison as well as validation and researching model performance and effectiveness.
- Good VBA, SQL
My client offers exceptional benefits and a highly competitive compensation package. If you are interested in this role then please reply to this email with an up to date copy of your CV. Alternatively, to find out more, feel free to contact me on 0207 469 8955. 