Macro Valuation Quantitative Analyst
Job Description:
Our client's valuation team has oversight across multiple products ranging from Exchange traded assests to OTC, Derivatives across asset classes including Valuation team manages the valuation of various investments ranging from the exchange traded products to derivatives traded in OTC markets, including equities, listed futures/options, bonds, fixed income OTC derivatives (interest rate swaps/swaptions, FX spot/forwards/options), credit derivatives, commodity products, venture capital and private equities. The Valuation team provides valuations and P&L for investments for portfolio managers, the Risk team, and senior management.
What you’ll do
Specifically, You Will
As the Macro Valuation Manager, you will manage the valuation for Mortgage products (Mortgage Specified Pool, TBAs, TBA options, and other Mortgage-backed products. You may also be involved with other products within the group including but not limited to credit derivatives, interest rate swaps/swaptions, FX derivatives, government bonds, and corporate bonds.
- Manage the process to control market data inputs to the valuation models and ensure the valuation process is in compliance with our Client's valuation policy
- Perform model validation on new valuation models required for model upgrades or the new products
- Perform price testing analysis with counterparty valuation and other third party vendors’ prices such as Bloomberg or Markit. Maintain the valuation support as evidence that investment valuation is accurate.
- Liaise with front office, Risk team, and other supporting teams about pricing, valuation, P&L, and valuation models
- Work closely with the Technology team to implement valuation setup for new products and automate the valuation process
Job Requirements:
- A minimum of 5-7 years of valuation experience on Mortgage products (Mortgage Specified Pool, TBAs, TBA options, and other Mortgage-backed securities
- valuation experience on fixed income & interest rate derivatives, credit derivatives
- Strong knowledge of derivatives valuation modelling principles
- Strong Quantitative Finance background required with expertise in Derivatives
- Commitment & taking responsibility for the role including working with the larger team as well as resolving issues independently
- Excellent interpersonal & communication skills are a must
- Proven ability to work effectively on a cross-functional team (ie, Risk, Ops, FO & Management)
- Strong leadership skills to mentor, develop & train other in this expanding group within a new strategy within the larger Valuation team
- Commitment to the highest ethical standards