FID Valuation Risk Group Technical Team # 104378
Valuation Risk & Control (VRC) is looking for FID (Rates, FX and Commodities) quant for a permanent position in London office.
Valuation Risk & Control (VRC) is a global specialized organization providing independent validation of the fair market value of trading portfolios across all business divisions. VRC's objective is to mitigate valuation risks with a focus on valuation consistency, accountability and efficiency. Our core values are integrity, technical leadership and teamwork.
You will be reporting directly to FID Product Head within the VRG Technical Team (a specialized quant team within VRC), and is to provide technical support to all valuation aspects associated with complex FID Products globally.
As a quant cover complex FID Derivatives and Products, you will be responsible for:
- Providing support to the VRG Technical Team, in order to sign-off the appropriateness of valuation models, model calibrations, and the significant unobservable parameters and prices
- Providing support to the pre-trade approval process, and reviewing any approximating bookings
- Identifying valuation issues in complex products, and raising to senior management
- Crafting / assessing any valuation adjustments and calibration methodologies
- Reviewing independent price testing methodologies
- Providing Ad Hoc technical support and training to Product Control.
You will report directly to FID Product Head within VRG Technical Team, and works closely with traders, modelers, risk managers, and product controllers to accomplish the tasks
Open to discussing flexible/agile working.
We are looking for a seasoned professional who has at least 2 years of experience in complex valuation models and methodologies for complex derivatives and products (preferably within the FID area).
Strong communication skill is required. Advanced degree such as MS or Ph.D. in Finance, Mathematics, Physics or Engineering is required.