Macro Valuation Quantitative Analyst
Division
Financial Services - Front Office
Location
Stamford, Connecticut
Employment Type
Permanent
Job Description:
Our client's valuation team has oversight across multiple products ranging from Exchange traded assets to OTC, Derivatives across asset classes 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.
Day-to-Day
As the Macro Valuation Manager, you will manage the valuation for a broad swath of products across Fixed Income, Currencies, Commodities, Credit Derivatives, Interest Rate Swaps/Swaptions, FX Derivatives, Government & Corporate bonds and Equity Indexes.
- Manage the process to control market data inputs into the valuation models (ie, yield curve, inflation curve, volatility surfaces, credit curves, etc.) in adherence to all corporate compliance policies
- Validate & check new valuation models & review and optimize existing models for upgrades or new products
- Conduct thorough price testing analysis on counterparty valuation and other third party vendors’ prices such as Bloomberg or Markit.
- Serve as go-to support to ensure that existing valuation models are accurate.
- Liaise with Front office, Risk 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 assist with the automation of the valuation process
Job Requirements:
- 5-7 years of valuation experience on fixed income derivatives and/or interest rate derivatives (Interest Rate Swaps/Swaptions)
- Strong knowledge of derivatives valuation modelling principles
- Strong Quantitative Finance background required
- Knowledge of financial products and greeks specifically in derivatives space
- Strong personal ownership and ability to resolve issues independently
- Excellent interpersonal skills, communication skills (verbal and written), and the ability to work effectively on a team across functions (e.g., Risk, Operations, Front Office, and Senior Management)
- Strong leadership skills to educate, train and develop others to expand the capabilities and capacity of the Valuation team
- Commitment to the highest ethical standards
Disclosure: The hourly rates and/or salaries listed may or may not reflect total compensation packages including bonus and fringe benefits, etc., nor are the advertisement(s) posted a guarantee of a certain compensation package for a position or bona fide offer of employment. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, or protected veteran status and will not be discriminated against on the basis of disability.
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