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Valuations Quantitative analyst., London
- UK - City of London - London
- Highly Competitive
- Full-Time Permanent
- Financial Services - Research
- 28-08-08
Job Description
Top tier global investment bank seeks Valuations Quantitative analyst.
You will join the independent group within Finance whose primary responsibility is to ensure that the firm’s risk portfolios are fairly valued. The coverage group forms the primary interface for discussing valuation issues with the Front Office, but retains reporting lines through the Finance & Risk management chain.
The group sets independent pricing & reserve methodologies and policies. FVP highlight concentrations in risk or uncertainties in parameter inputs, use fundamental analysis to understand risk of the more illiquid positions and work with the trading, risk and quantitative groups to fully understand their implications from a risk/return perspective and the impact on the desk’s level of reserving. In addition, FVP is responsible for the review of approximately loaded trades, high level risk / P&L analysis, approval of new products, and model releases.
The group is organised along business lines including, Credit, Fixed Income Exotic and Hybrids, Rates, Equities, Emerging Markets, Securitized Products, Proprietary Positioning, Principal Investments and Currencies & Commodities. Clients of the group include senior management, business heads, regulators, and both internal and external audit. The group also works closely with the Traders, CFOs, Market Risk, Credit Risk and Middle Office to ensure a complete understanding of business issues and the accurate execution of valuation policy.
The role is based in London and will be part of a small team covering the European Proprietary Trading business. The incumbent will ideally have a combination of good credit fundamental skills and good quantitative background and will report to the Head of the team.
Responsibilities
· Coverage of SPG & PIM Assets including ABS, CDO, Whole Loans (mainly secured on real estate), Non Performing Loans.
· Work with the Front Office, Market Risk, Credit Risk, Model Review Group and Finance on all valuation issues.
· Responsibility for valuation of the portfolio and all fair value adjustments taken
· Regular reviews of P&L by risk attributes (such as leverage, interest cover, etc) to confirm ongoing accuracy/validity
· Valuation function lead on signoffs for new non standard trades
· Assess appropriateness of benchmarks and methodologies used in parameter testing and reserve calculations for the trading portfolio
· Provide technical product training and other ad-hoc quantitative assistance to line Product Controllers and other interested parties
· Verification of Day 1 fair value adjustments and establishing on-going verification procedures
· Responsible for building and sustaining a robust control environment
· Liaise with Accounting Policy to ensure proper accounting treatment of relevant products under multi-GAAP
· En
You will join the independent group within Finance whose primary responsibility is to ensure that the firm’s risk portfolios are fairly valued. The coverage group forms the primary interface for discussing valuation issues with the Front Office, but retains reporting lines through the Finance & Risk management chain.
The group sets independent pricing & reserve methodologies and policies. FVP highlight concentrations in risk or uncertainties in parameter inputs, use fundamental analysis to understand risk of the more illiquid positions and work with the trading, risk and quantitative groups to fully understand their implications from a risk/return perspective and the impact on the desk’s level of reserving. In addition, FVP is responsible for the review of approximately loaded trades, high level risk / P&L analysis, approval of new products, and model releases.
The group is organised along business lines including, Credit, Fixed Income Exotic and Hybrids, Rates, Equities, Emerging Markets, Securitized Products, Proprietary Positioning, Principal Investments and Currencies & Commodities. Clients of the group include senior management, business heads, regulators, and both internal and external audit. The group also works closely with the Traders, CFOs, Market Risk, Credit Risk and Middle Office to ensure a complete understanding of business issues and the accurate execution of valuation policy.
The role is based in London and will be part of a small team covering the European Proprietary Trading business. The incumbent will ideally have a combination of good credit fundamental skills and good quantitative background and will report to the Head of the team.
Responsibilities
· Coverage of SPG & PIM Assets including ABS, CDO, Whole Loans (mainly secured on real estate), Non Performing Loans.
· Work with the Front Office, Market Risk, Credit Risk, Model Review Group and Finance on all valuation issues.
· Responsibility for valuation of the portfolio and all fair value adjustments taken
· Regular reviews of P&L by risk attributes (such as leverage, interest cover, etc) to confirm ongoing accuracy/validity
· Valuation function lead on signoffs for new non standard trades
· Assess appropriateness of benchmarks and methodologies used in parameter testing and reserve calculations for the trading portfolio
· Provide technical product training and other ad-hoc quantitative assistance to line Product Controllers and other interested parties
· Verification of Day 1 fair value adjustments and establishing on-going verification procedures
· Responsible for building and sustaining a robust control environment
· Liaise with Accounting Policy to ensure proper accounting treatment of relevant products under multi-GAAP
· En
- The Team
- nbnncbvbhgfrerer
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