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Associate Credit Exotics & Hybrids Valuation-London-Circa: £65,000 - £85,000 + BENEFITS + SIGNIFICANT BONUS
This IPV team is an independent group within Finance whose primary responsibility is to ensure that the valuation of the firm's risk portfolios, are fairly valued. The group sets independent pricing & reserve methodologies and policies.
They highlight concentrations in risk or uncertainties in parameter inputs and work with the trading and quantitative groups to fully understand their implications from a risk/return perspective and the impact on the desk's level of reserving.
This team is also responsible for the review of approximately loaded trades, high level risk / P&L analysis, approval of new products, and model releases.
The team covers the European Fixed Income Exotics & Hybrids trading business. The incumbent will have a strong quantitative background and will report to the Global Head of Rates, FI Exotics & Hybrids, and will be covering Credit Exotics & Hybrids.
Responsibilities of the Credit Exotics and Hybrids Valuation role:
-Coverage of Credit Exotics & Hybrids business including: CDO, CDO Squared, FTD, Credit SPI, KO cross-currency swaps, credit spread options products.
-Work with the Front Office, Market Risk, Model Review and Finance on valuation issues.
-Responsibility for valuation of the portfolio, and all fair value adjustments taken.
-Valuation function lead on signoffs for new credit hybrid trades.
-Assess appropriateness of benchmarks and methodologies used in parameter testing and reserve calculations for the trading portfolio.
-Provide technical product training and other ad-hoc quantitative assistance to line Product Controllers and other interested parties.
-Rgular reviews of P&L attribution by risk attributes (i.e. Greeks) to confirm ongoing accuracy/validity.
-Responsible for building and sustaining a robust control environment.
Requirements of the Credit Exotics and Hybrids Valuation role:
-Someone with Line product controlling background is preferred, but will also strongly consider those from Market Risk/Trading/Quant Analyst and IPV.
-Product knowledge in credit derivative is preferred.
-Analytical & quantitative skills as they relate to trading room products.
-Attention to detail and high standards of data and systems integrity.
-Proficient in Excel, knowledge of VBA and Access preferred.
-Strong Educational background; with at least a Masters in Math/Physics/Finance/Engineering/Economics.
Key words: Independent Price Verification; IPV; Product Control; Market Risk; Trading; Quant Analyst; Europe; London; Equity; Credit; Fixed Income; Hybrids; Global Head; Managing Directors.
To apply for this Credit Exotics and Hybrids Valuation role please email us your CV by mail or call us on 00 44207 019 4137.
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.