AVP - Valuation Models and Methodologies Specialist
Salary £65,000 - £75,000 per annum
Consultant Sam Gee
Date posted 13 November 2018 2018-11-132019-01-12 banking UK Robert Walters https://www.robertwalters.co.uk https://www.robertwalters.co.uk/content/dam/robert-walters/global/images/logos/web-logos/logo.gif
Excellent opportunity to join a leading Investment Bank within their Models and Methodology team. You will have strong knowledge in Equity Derivatives and have experience in C++ and Python. Ideally, the successful candidate will be able to calibrate models used for valuation through the full lifecycle.
- 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.
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
- 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 and communication skills.
- Experience in programming in C++, Python, visual basic or other language is beneficial
- A self-motivated, proactive and enthusiastic team player
- Ability to take pragmatic decisions
- Previous experience in producing detailed analysis to demanding deadlines and clearly communicating the results to senior management, and potentially to auditors/regulators.
- A background within global markets investment banking environment either in a quantitative, valuation, risk management capacity