Valuations, IPV, Treasury, Rates, Credit

My client, a major international bank, have three openings in their valuations piece. They are looking for highly numeric qualitative accountants with valuations experience to join their expanding Rates, Treasury and Credit functions.

The team covers a number of Global Rates businesses including Vanilla options and Exotics Rates, Treasury and Credit valuations:

*Provide monthly price verification and help running monthly review meetings with key stakeholders.
*Addressing model limitations through reserve/valuation adjustment calculations.
*Designing and executing price testing methodologies for instance on the SABR, LMM & Short Rate Models across the suite of Vanilla and Exotic Rates products ie Bermudans, Snowballs, CMS Spread Options, Dual Range Accruals, Inflation products etc. Ensuring valuation consistency between exotic-vanilla models.
*Casting a critical eye on the choice of calibration proposed by Front Office.
*Provide Valuation analysis and consolidation of price testing information for Finance Management and the Valuation Committee and associated Sub Committees.

Responsibilities include:
*Implementation and calculation of fair value adjustments across Rates Options products
*Related to Price Testing,Model shortcoming,Bid Offer,Parameter Uncertainty,PL Deferral
*Innovation
*Investigate and implement new ways to enhance existing processes and measure the effectiveness and quality of all procedures
*Internal Client support
*Provide technical valuation support to the Front Office, Product Controllers and Senior Management
*Assist with Projects and Firm wide initiatives
*Interactions with Key Stakeholders
*Interaction with various areas across the bank in order to obtain and understand the impact there areas have on Valuations Control as well as providing both formal reporting and ad hoc query resolution to these areas.
*Product Control line support
*Provide technical valuation assistance to the product controllers to ensure that all valuation control requirements are optimally met.
*Complex trade reviews
*Prepare complex trade reviews across various products

Person Requirements:
*2:1 degree or equivalent at graduate level in mathematical/scientific discipline from top-tier University
*MSc in finance/quantitative discipline.
*Solid options pricing knowledge, rates options experience is a plus.
*Top level IT skills: VBA, SQL, XML, Python, R.
*Strong analytical skills
*Strong communication skills and the ability to present and discuss complex issues with counterparts from Trading, Finance, Market Risk and other areas.
*Ability to clearly present arguments and defend views under challenge from others
*Problem solving and flexibility to adapt to rapidly changing business events

Preferred Qualifications:
*2:1 degree or equivalent at graduate level in mathematical/scientific discipline from top-tier University
*MSc in finance/quantitative discipline.
*Solid options pricing knowledge, rates options experience is a plus.
*Top level IT skills: VBA, SQL, XML, Python, R.
*Strong analytical skills
*Strong communication skills and the ability to present and discuss complex issues with counterparts from Trading, Finance, Market Risk and other areas.
*Ability to clearly present arguments and defend views under challenge from others
*Problem solving and flexibility to adapt to rapidly changing business events

Allegis Group Limited and Aston Carter Limited operate Employment Businesses and Agencies and are companies within the Allegis Group Inc. group of companies, the fourth largest staffing company in the world, (collectively referred to as the "Allegis Group"). TEKsystems and Aerotek are divisions of Allegis Group Limited. Applicant data will be treated in accordance with the Allegis Group's Privacy Notice ). By submitting personal data to any company or division within the Allegis Group, the applicant is providing explicit consent to the use of such data by the Allegis Group and to the transfer of such data to and from the Allegis Group companies within the UK, Europe and outside the European Economic Area in connection with the fulfilment of the applicant's voluntary requests, and the fulfilment of other job opportunities that match the applicant's profile, and confirms that they may be contacted about such job opportunities.