SDM - Rates & FX Valuation Control - IT

Description

The role is within the Rates & FX Valuation Control function that supports this business from within the Finance function. The role involves the calculation of reserves, Internal Price Submissions to Totem, validation / independent price testing, Fair Value Hierarchy classification and associated reporting requirements.

Key Responsibilities:

- Understand the price testing methodology and an own end to end Valuation control process.

- Ability to communicate, explain variances and investigate issues autonomously.

- Review and maintain a strong control environment by performing a thorough review of processes.

- Ability to work in a fast paced environment, produce deliverables on a timely basis and in an efficient manner.

- Strong knowledge of fixed income products, market conventions and discounting.

- Understanding of curve construction methodologies and approaches.

- The role requires liaison with desk, onshore Valuations, Product Controllers and reporting teams.

Requirements / Qualifications:

The ideal candidate will combine the following skill sets and or qualifications:

- Strong mathematical/analytical ability (Masters in finance related subject desirable)

- Good knowledge/experience in the pricing of fixed income products especially IRS, Swaption, FX, and Bermudans.

- Familiarity with derivative and interest rate instruments.

- Understanding on Curve Construction and Option Pricing must have.

- Computing skills including strong Excel skills, (VBA - advantageous)

- Experience with Quants background or Valuation Control background with strong product understanding

- Experience in using Reuters/Bloomberg advantageous.

- Strong communicator, with a strong understanding of the valuation of exotic interest rate products like Bermudans, Quantos, CMS, CDRAN

- Understanding of the relationships between Product Control and Valuations.

- Understand the pricing of exotic interest rate products

- Have previous experience working on Models like SABR, LMM / BGM.

- Exposure of working with Model Validation team will be an advantage.