AVP Fixed Income Pricing & Risk

  • Competitive Base & Bonus
  • New York, NY, USA
  • Permanent, Full time
  • Ashton Lane Group
  • 21 Sep 16

Provide pricing & valuations coverage within a Global Investment Bank

Responsibilities:

  • Independently verify and report on the accuracy of market parameters of model valued fixed income derivatives used in the calculation of P&L and Collateral Valuation.
  • Review exceptions with the Front Office price contributors ensuring they understand the price verification process and allowing them opportunity to challenge Valuations & Risk control findings and present supporting evidence for their prices
  • Stay abreast of market conditions and developments which would impact prices
  • Understand Front office pricing techniques and tools
  • Ensure all available market data sources are understood and integrated into the IPV process 
  • Ensuring that corrections are made to the P&L where required and clearly communicating results to affected groups (i.e. Financial Control, Middle Office).
  • Contribute to the evolution of the price verification processes. This includes identification of the instruments which create risk in the corresponding parameters and the assessment of alternative checking methods and sources. Analyze and question current processes and contribute to their improvement.
  • Perform local / regional control processes to ensure all Trading Activity is monitored and consistent with defined trading mandates and risk limits.

Requirements:

  • 1-2 years’ experience in derivatives control and pricing analysis within an investment bank
  • Knowledge of Fixed Income Instruments: Fixed income Swaps / Derivatives (Rates, Credit, FX, etc.) Bonds, Options, FX. Knowledge of Commodity and Equity products
  • Prior P&L, Product Control or Audit experience or other experience working in a control function
  • Working product knowledge across a wide range of asset class. Knowledge of Greeks and P&L attribution
  • Excellent IT skills including Excel, VBA & Access.
  • Strong communication and interpersonal skills.
  • Masters degree in a quantitative discipline preferred. 

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

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