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VP, Valuations – Rates Derivatives

  • Job type: Permanent
  • Location: New York
  • Salary: Competitive
  • Job reference: ALCG0501
  • Sector: Banking and Finance, Quantitative Finance, Risk Management, Selby Jennings
  • Date posted: 18/09/2017
VP, Valuations – Rates Derivatives

Our client is a leading investment bank located in New York, looking to expand their Valuations group. This team plays a central role within the organization and liaises closely with the trading desks, risk teams, product control, technology, and strategy/modeling teams. The ideal candidate will have some management experience, and be interested in building a team.

  • Take charge of high-level processes within the team, and manage 2-3 junior members
  • Lead independent valuation of interest rates & foreign exchange derivatives using proprietary quantitative models and market data inputs
  • Be responsible for producing, analyzing, and verifying valuation movements within client portfolios on a daily basis with reference to wider market activity, trade events, and sensitivity analysis.
  • Initiate and deliver analytics around the valuation service including management information.
  • Establish and develop strong relationships with external and internal parties, working directly with senior management and providing regular input in decision-making processes.
  • Train new team members and lead initiatives as needed
  • Work with colleagues to develop price-testing and reserve policies, consistent with principles of valuation and control
  • Bachelor Degree required in Finance or a related field. Advanced degrees in Financial Engineering, Quantitative Finance, Applied Mathematics, Statistics etc. strongly preferred
  • 5-10 years direct experience with valuations, price testing, modeling across fixed income interest rate derivatives, and fx products
  • Ability to explain a valuation by analyzing its constituent parts and how it is calculated.
  • Must have a full understanding of the lifecycle of derivatives and be able to investigate and explain valuation movements using sensitivity based analysis
  • Strong communication skills to establish credibility and build strong relationships

Apply Now.
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