VP Fixed Income Valuation & Pricing

Job Description

Manage the Fixed Income derivative pricing/valuations function for a Global Investment Bank

Responsibilities:

Perform Independent Price Verification (IPV) processes for Fixed Income products with emphasis on credit, rates and LATAM products

Lead projects, implementing new processes, re-engineering and industrializing current processes. Ensuring handover and methodology documentation on the parameter review processes are up to date and signed off by management.

Propose innovative enhancements to valuation methodologies. Implementation through consultation with and validation from local and global risk and financial control groups.

Effectively manage relationships with Front Office, Risk and Research.

Communicate effectively with senior management the results of the IPVs and highlight ongoing issues.

Contribute to the evolution of the price verification processes. This includes identification of the instruments that 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.

Requirements:

Masters degree in Mathematics, Statistics, Engineering or Finance

Relevant industry experience dealing with valuation and Independent Price Valuation

In-depth Knowledge of valuation of all Fixed Income instruments including complex derivatives, swaptions, CDS, Repos, Loans, Interest Rate and Currency Swaps, Bond options, Corporate bonds and LATAM financial instruments.

Knowledge and understanding of options basics (Pricing/Models, Greeks, P&L effects, etc)

Excellent IT skills including VBA, Excel, Python, Power BI. Quick to assimilate new technology/systems and adapt into processes.

Strong written and oral communication, listening skills

Knowledge of the best practice control framework for derivative valuation.

For immediate consideration, please forward resume and contact details to:

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