Valuation Models and Methodologies Specialist
Salary £60,000 - £70,000 per annum
Consultant Ben Litvinoff
Date posted 13 June 201811 Slingsby Place, St Martin's Courtyard London, WC2E 9AB Robert Walters United Kingdom
Our client has Multiple headcount across Equities and FX and Rates. You’ll be joining the Rates & FX or Equities asset class team. The team is responsible for the development and ownership of valuation methodology policies governing Equities products, including model fair value adjustments and implementation of valuation methodologies across Independent Price Verification, reserves and Prudent Valuation and the policies governing Rates & FX products.
- Solving valuation methodology issues, for example: Calibration of models used to value complex products in various markets, liquidity considerations, validity of Day 1 P&L, etc
- Devising valuation techniques for a wide range of model-dependent products and parameters across Equities
- Analysing, developing and reviewing existing valuation methods, particularly in relation to model valuation adjustments/reserves.
- Supporting the Independent Price Validation (IPV) teams, by developing, reviewing and improving IPV processes, including parameter and product level IPV, fair value & model reserves, Pruval and other valuation considerations.
- Assessing the valuation methodologies, testing of valuation tools, identification and resolution of valuation discrepancies, and communicating assessments to stakeholders
- Gaining a full understanding of the products traded by the desk and their modelling, marking and valuation adjustment methodologies
- Developing and implementing Prudent valuation, Independent Price Verification (IPV) and model methodologies as well as systems and functionality enhancements
- Performing documented reviews and policies of the prudent valuation, modelling and parameter valuation/mark review methodologies
- Working with stakeholders to improve efficiency by challenging processes and procedures
- Interfacing with key/stakeholders (both on finance and business side) to discuss the status of the methodologies, developments, validation work and results of test work
Skills & Qualifications:
- Experience with product valuation in specific or multiple asset classes such as: Equity, Interest Rates, FX or Credit, with a derivatives background being a preference
- Experience in Interest Rates and/or FX with knowledge of Exotics products including; Bermudans, Constant Maturity Swaps (CMS) & CMS Spread options being a preference
- Strong analytical / quantitative and qualitative skills and should have the ability to develop methodologies to capture valuation uncertainty and to challenge valuation methodologies proposed by the business unit
- High regard for attention to detail and accuracy to ensure adequate supervisory controls are in place
- Prior work experience in a global markets investment banking environment either in an IPV, valuation or risk management capacity
- Highly self-motivated with the ability to work both independently and as an effective team member, partnering with colleagues across the wider organisation
- Ability to take pragmatic decisions.
- Previous use of analytic libraries is beneficial
- Good understanding of Derivative valuation models including the ability to understand their workings intuitively and to communicate with Front Office trading and quants on Model-related issues.
- Ability to produce documentation of a standard to be presented to regulators
- An inquisitive mind and an analytical, yet practical, mindset towards addressing and resolving issues
- Strong organisational ad communication skills.
- Experience in programming in C++, Python, visual basic or other language is beneficial
- A self-motivated, proactive and enthusiastic team player
- Previous experience in producing detailed analysis to demanding deadlines and clearly communicating the results to senior management, and potentially to auditors/regulators