AVP - Valuations - Equity

Reporting to the Director / VP-Valuation Control, your major responsibilities would be:

- Independent Price Verification of Equity derivatives, pricing and investigate drivers for variance, perform due diligence for reliability of price date from multiple sources.

- Supervising and reviewing the monthly price testing process for the Regional Business that are supported.

- Be able to justify adjustments to fair value of sensitivities such for Delta and other Greeks, large position adjustments, Model and complexity, portfolio complexity etc.

- Basis the IPV process and investigations develop reserving amounts and justify the same.

- Investigation of pricing / model uncertainty in methodology and parameters used.

- Discussing price testing results, fair value and model reserves, general modeling issues / uncertainties with FO and reporting on suitability for specific products / markets.

- Reporting and MIS pack presentation for senior management, front office, risk management and finance.

- Use the Analytics pricing platform to perform checks and simulations on IPV prices as a part of the IPV process.

- Strong knowledge of Monte Carlo simulation and exotic products

Required Profile:

- 4-5 years experience in the valuations space, quantitative finance, financial risk engineering, market risk and middle office

- Strong understanding in pricing models with a greater stress on understanding of parametric inputs.

- Strong technical knowledge of the asset classes

- Hands on experience with Bloomberg and Reuters in key markets data sets & using pricing functions

- Strong hands on experience with MS Excel financial functions such as VBA,SQL and experience in writing macros.