VP - Rates IPV - Top-tier Investment Bank VP - Rates IPV - Top-tier Investment Bank …

Eximius Finance
in London, United Kingdom
Permanent, Full time
Last application, 27 Sep 20
85-100K plus benefits
Eximius Finance
in London, United Kingdom
Permanent, Full time
Last application, 27 Sep 20
85-100K plus benefits
A city based investment bank is looking to recruit a technical rates valuation controller to join its team. The role will suit a mathematically-minded FX derivative and / or rates product or valuation controller who has demonstrable gravitas to face-off to front office stakeholders.

This individual will supervise the performance of effective independent valuations control across the Rates and FX portfolio

Key responsibilities:

  • Collaborate on continuous improvement and automation of quality and efficiency of valuation processes
  • Act as a lynchpin and key contact to off-shore teams (where 75% of the production is) and internal stakeholders in front office and quantitative risk teams
  • Assist in development of valuation methodology and implementation

The role which will focus on active trade valuations and will require technical individuals who have had exposure to all or the majority of the following methodologies.

  • SABR model
  • Bermudan
  • Vanilla options
  • Caps and floors
  • CMS
  • Ranger accruals

Required Skills:

  • Master’s degree or further study in a mathematical subject
  • Detailed understanding of pricing for Rates derivatives products or wider experience in derivative markets
  • Analytical and methodical thinker, a problem-solver with great attention to detail
  • Excel proficiency - preferably with programming skills e.g. Python
  • Excellent communicator who can confidently communicate to a diverse audience
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