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Our client is a leading investment bank located in New York, looking to expand their Valuations group. This team plays a central role within the organization and liaises closely with the trading desks, risk teams, product control, technology, and strategy/modeling teams. The ideal candidate will have some management experience, and be interested in building a team.
Take charge of high-level processes within the team, and manage 2-3 junior members
Lead independent valuation of interest rates & foreign exchange derivatives using proprietary quantitative models and market data inputs
Be responsible for producing, analyzing, and verifying valuation movements within client portfolios on a daily basis with reference to wider market activity, trade events, and sensitivity analysis.
Initiate and deliver analytics around the valuation service including management information.
Establish and develop strong relationships with external and internal parties, working directly with senior management and providing regular input in decision-making processes.
Train new team members and lead initiatives as needed
Work with colleagues to develop price-testing and reserve policies, consistent with principles of valuation and control
Bachelor Degree required in Finance or a related field. Advanced degrees in Financial Engineering, Quantitative Finance, Applied Mathematics, Statistics etc. strongly preferred
5-10 years direct experience with valuations, price testing, modeling across fixed income interest rate derivatives, and fx products
Ability to explain a valuation by analyzing its constituent parts and how it is calculated.
Must have a full understanding of the lifecycle of derivatives and be able to investigate and explain valuation movements using sensitivity based analysis
Strong communication skills to establish credibility and build strong relationships