The OTC Derivatives Valuation Control Group is organised into a team of OTC derivative valuation and quantitative specialists based in London, New York, Sydney & Mumbai. The team is looking for new talent to work within the London team to manage our client business from across the global regions. The Valuation Analyst will be the first line of support for the production of valuations and valuation queries for both internal and external clients and they will also act as one of the subject matter experts within the business for derivatives lifecycle management and valuation.
This is a unique opportunity to work in a cross-asset OTC derivatives environment with exposure to all types of derivatives from vanilla to complex products. Individuals will be given the opportunity to learn new skills or build upon existing knowledge within all aspect of valuations and also across the wider post-trade environment.
Provide independent valuation services to internal and external clients across a variety of OTC derivative products including credit, equity, interest rate, FX, inflation, commodity, and property derivatives.
Responsible for daily market data capture, validation, and calibration across all data types required for modelled valuations including quantitative and qualitative adjustments.
Be responsible for producing, analysing and verifying valuation movements within client portfolios on a daily basis with reference to wider market activity, trade events, and sensitivity analysis. For some clients, this will also involve comparing and analysing OTC valuations across multiple sources and the candidate should be able to clearly articulate the cause of any valuation differences to our clients' middle and front offices.
Assist with the roll out/support for new derivative products from a valuation and lifecycle management perspective including benchmark and back-testing as part of the model validation process.
Initiate and deliver analytics around the valuation service including management information.
Establish and develop strong relationships with both internal and external clients.
Assist with the on-boarding of new clients onto the service.
Assist with requirement definition and testing related to strategic projects on the Calypso and DerivClear platforms.
Investment Banking or Asset Management background from a middle office/product control environment.
Minimum of 4 years hands on technical experience across a range of OTC derivative products. This must have included exposure to one or more of valuations, price testing, modelling, and P&L analysis.
Must have an ability to explain a valuation by analysing its constituent parts and how it is calculated. Knowledge required across several asset classes but is critical for IR derivatives.
Must understand valuation sensitivities i.e. PV01, Delta, Gamma, Vega etc and how these are generated.
Must have a full understanding of the lifecycle of derivatives and be able to investigate and explain valuation movements using sensitivity based analysis.
Ability to establish credibility and build strong relationships with clients.
Excellent communication skills with the ability to present information in a concise and informative manner.
Self motivated, demonstrates initiative, innovation, and solid problem solving skills.
Committed to delivering the best possible service to our clients.
Extremely detail and control orientated.
Good working knowledge of Calypso or other derivative risk management systems.
Very strong IT skills, in particular Excel. VBA knowledge would be an advantage.
US-NY-Brooklyn-3 Chase Metrotech Ctr / 03355
Treasury & Securities Services
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