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The successful candidate will be part of the group which performs the review of the portfolio valuation, which involves pre-approval of valuation methodologies, testing adherence to such methodologies, comparison of the banks' marks to external marks/benchmarks, identification and resolution of potential pricing discrepancies and provides a valuation summary assessment to senior management. The group is also involved in the continuous advancement and enhancements of the valuation control infrastructure with a view towards global standardization. The group liaises heavily with traders and CFOs.
This person will primarily be responsible for the review of complex trade bookings. This role is well suited for candidates interested in gaining an in depth understanding of complex products, an understanding of the application of Monte Carlo simulation models, and a detailed understanding of product valuation. The key responsibility of this role involves reviewing complex trade bookings to ensure that the economics of the trade are accurately reflected in the payoff code. The candidate will be responsible for understanding the deal terms for complex trades and then reviewing the corresponding payoff code. He/she will also be responsible for verification of the model type and model scope used to value the complex trade. The candidate will work closely with the CFO organization, traders and the analytic modeling group to follow up on any questions or issues raised in the code review process. In addition, the candidate will be responsible for the monitoring and review of changes made to the payoff code or model inputs and the follow up on any issues resulting from these changes. The individual will document and report complex trade metrics monthly.
Requirements include: Bachelor’s Degree or higher in finance, computer science, or a quantitative discipline. Certification and/or advanced degree such as MBA, MS, CFA, CPA, PRM, or FRM preferred; Experience in financial services industry; Possible previous experience: Controller generating daily P&L for a derivatives desk, auditor with derivatives experience, or derivatives risk analyst. Candidates should have a familiarity with derivatives and structure products; Strong C++; Advanced Excel/VBA; Understanding and interest in derivative products: booking, valuation, and risk; Capable of understanding and interpreting technical documentation on new products and models; strong Analytical / Quantitative skills; Possess the ability and willingness to adapt to new challenges in a dynamic environment with shifting priorities; Control-minded with strong attention to detail; Strong written and oral communication skills; Ability to work effectively as a member of the team or independently.
For more information on this role or for immedidate consideration, please reference Job# TR439 and submit resume in Word Format to: ian@comprehensiverecruiting.com.
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