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Prepare and review of detailed valuation reports to include analysis of issues for reporting and discussion with Risk, Front Office, Model Validation and Finance.
Generate and assess reserves required in the overall Fair Value process (Bid-Offer, model reserves, Day1 Reserves)
test effectiveness of model calibrations
Analysis, discussion and agreement of variances and methodology with Valuation Methodologies team, desk & Risk Management
Reporting of IPV results and Reserves to both the desk and to central Finance IPV reporting team
Continuous improvement of methodology and results generation approach and process platforms
Calculation and review of valuation uncertainty under IFRS and Prudential Valuations including refining exiting methods
Provide value added service, maintain controls and challenge the business
Provide link between onshore London and offshore India based teams
Deal with ad hoc valuation issues and new business approvals
Your team You'll be working in the Rates and Credit Valuations Control team in London. The team is responsible for the validation of the final reported valuations of products through a combination of independent price verification, reserving and model calibration analysis. The results of this validation are reported through the organization to Trading, Finance and Risk Management functions. The team covers the Rates and Credit businesses across Core and Non Core, covering Linear, Non Linear and Hybrid interest rates, and Flow Credit and Structured Credit. We are a global team covering EMEA, US and APAC.
Your experience and skills You are:
A self-starter who is delivery focused with the ability to think laterally under pressure
Methodical, concise and accurate, with strong attention to detail
Understanding of Rates (Yield Curve, Cost of Tenor, Cost of Funding, Inflation, Govt Bonds, Options) and Credit (CDS, Corporate Bonds, Loans) IPV and reserving
Familiarity/market experience with Rates and Credit pricing methods and sources
Strong quantitative skill-set and a good understanding of relevant pricing models
Excellent verbal and written communication skills
Experience of working in similar valuation roles or relevant areas e.g. Risk/Front Office
Control experience and relevant qualification e.g. Chartered Accountant / CFA
Bachelor's degree in relevant mathematical subject required; Master's degree desirable