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- Manage valuation and Murex valuation models used for Rates and FX derivatives, and other derivatives. - Control market data inputs into the valuation models in Murex (Interest Rate curves, FX curves, volatility surfaces, and etc.) and ensure valuation process is in compliance with valuation policy. - Perform price testing analysis with 3rd party vendors' prices and brokers' prices (such as Counterparty, Brokers, Bloomberg or Markit valuation). Maintain the valuation supports as an evidence that investment valuation is accurate. - Perform real time Valuation or PnL checks and address any Valuation and PnL issue ad-hoc basis. - Liaise with portfolio managers, risk team, and other supporting teams about pricing, valuation, PnL, and valuation models in Murex. - Work with Murex Technology Support and Developer team to implement valuation setup for new products and streamline the valuation process.
- 2-3 years of valuation experience on Rate and FX derivatives, and other derivatives - Murex system experience - Quantitative or Finance background. Master's degree in Financial Engineering or mathematical finance is a plus but not required - Knowledge of financial products and greeks specifically in derivatives space - Strong personal ownership and ability to resolve issues independently - Excellent interpersonal skills, communication skills, and the ability to work on a team - Strong Excel skills: must be comfortable in the use of advanced Excel tools as pivot tables and functions such as Vlookups. VBA experience is a plus but not required.
Internal Number: 6122879
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