A city based investment bank is looking to recruit a technical rates valuation controller to join its team. The role will suit a mathematically-minded FX derivative and / or rates product or valuation controller who has demonstrable gravitas to face-off to front office stakeholders.
This individual will supervise the performance of effective independent valuations control across the Rates and FX portfolio
Key responsibilities:
- Collaborate on continuous improvement and automation of quality and efficiency of valuation processes
- Act as a lynchpin and key contact to off-shore teams (where 75% of the production is) and internal stakeholders in front office and quantitative risk teams
- Assist in development of valuation methodology and implementation
The role which will focus on active trade valuations and will require technical individuals who have had exposure to all or the majority of the following methodologies.
- SABR model
- Bermudan
- Vanilla options
- Caps and floors
- CMS
- Ranger accruals
Required Skills:
- Master’s degree or further study in a mathematical subject
- Detailed understanding of pricing for Rates derivatives products or wider experience in derivative markets
- Analytical and methodical thinker, a problem-solver with great attention to detail
- Excel proficiency - preferably with programming skills e.g. Python
- Excellent communicator who can confidently communicate to a diverse audience
