Global investment bank seeks a Vp level Valuation Risk Quant responsible for the review and validation of Firm's recommended valuation models for fixed income product and risk factors
Valuation Risk & Control is a global specialized organization
within Product Control and is responsible for providing independent
validation of the fair market value of trading portfolios across all
Teams objective is to mitigate valuation risks with a focus on
valuation consistency, accountability, and efficiency.
Our core values are integrity, technical leadership, and teamwork
The Technical VP is responsible for the following review and
validation of Firm's recommended valuation models for fixed income
product and risk factors
Validate calibration routines and methodologies, and review scope of
market data used
Review recommended valuation adjustment for model weakness
Recommend and approve valuation adjustment related to calibration bias
Review consistency and completeness of IPV methodologies
Perform and develop benchmark methodology for illiquid inventories and
complex trades with limited observabilities
Provide review on the appropriateness of consensus data submission and
calibration for independent price verification / benchmarking
Provide quantitative technical expertise and analysis to the
team for new complex trades or other valuation control matters.
The Technical VP is expected to work closely and collaboratively with Front office traders, model developer (quants
strategies), model validation team to accomplish our tasks.
We are looking for a proactive teammate who has a solid quantitative
background and experience in model calibration and benchmarking of
valuation models and methodologies for fixed-income products and
Advanced degree (Master or PhD) in quantitative fields is required
(math, quantitative finance, statistics, engineering).
Proven industry and practical experience in valuation control and
model calibration / benchmarking of fixed income derivatives and
Hardworking individual with strong communication skills and the proven
ability to communicate effectively with team across different
Partnership and collaboration to work with colleagues effectively and
First line quantitative, trading and risk experience is preferred
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.