Rates Valuation Specialist – Vice President

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Summary

As a Valuation Control Specialist you will focus on Independent Price Verification (IPV) across interest rate derivatives and municipal products supporting the Core Rates business in the Americas. You’ll be an integral part of the team focusing on all aspects of valuation control including IPV, fair value reserving, prudent valuation, methodology, leveling and control framework. You will also be involved on the Market Risk side and interact across the entire organization including Front Office, Risk and Finance.


Company Information:

Investment Bank.


Job Description:

• Oversight of monthly and intra-month IPV across multiple asset classes with a focus on complex interest rate products and derivatives
• Development of valuation methodologies, model appropriateness and reserving; independent modelling of transactions may be required. Review and deep-dive analysis of Level 3 (i.e. hard-to-value positions), bespoke and structured trades
• Responsible for the valuation control processes for the US Core Rates businesses including but not limited to: valuation, leveling (i.e. Level, 1, 2 and 3), sourcing of market data and back testing, prudent valuation, model calibration, methodology reviews, reporting, observability and overview of results. Respond to relevant regulatory and audit queries
• Involvement on the Market Risk side as fully integrated with Valuation function


Requirements / Qualifications:
  • Math(s), Sciences, Finance, Business or other relevant degrees preferred. MS or higher education is an advantage
  • Post graduate finance related qualification (i.e. CFA or FRM) an advantage
  • Previous relevant experience of working in a markets investment banking environment either in a valuation, risk management or front office (i.e. trading\structuring) capacity
  • Detailed knowledge of financial instrument valuation and risks measurement in a complex product area, preferably in complex products or derivatives. Knowledge of exotics, options, distressed debt, private equity, is a plus
  • Programming knowledge is preferred (e.g. VBA, C++, Python, etc.)

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