The Valuation Analyst, the position requires hands-on financial mathematical analysis related to the valuation of a multibillion-dollar block of derivatives, fixed income and complex securities portfolio, and analysis of associated interest rate, currency, equity, and counterparty risk management. The role oversees various stages of the valuation process on a daily, monthly, and quarterly basis - with the primary purpose of ensuring the robustness of the valuation process, validation of the prices, and development of analytical models for pricing new deals using mathematical and quantitative tools/techniques.
The Valuation Analyst must have knowledge of a variety of mathematical methods valuation methodologies, and risk analytics associated with the instruments and experience with SQL. The position also requires knowledge of numerical methods for valuation (Monte Carlo methods, PDE solvers, Optimatization techinques) and an understanding of statistics, time series analysis, stochastic calculus, random processes, and partial differential equations. The Valuation Analyst must also possess programming skills in C++/Python/C#/Java/MatLab.
The Valuation Analyst will perform the following duties:
- Research, develop, program, and maintain independent complex quantitative models by utilizing quantitative, statistical, mathematical, and financial techniques for valuation of derivatives (swaps, swaptions, floors, exotic equity options, FX derivatives, etc.), fixed income and other complex deals;
- Independently direct the validation of financial instrument prices with respect to in-house systems, counterparties, and other independent valuation sources and support staff within the scope of the position in addressing this goal;
- Actively interact with investments and risk management personnel in accurately assessing the ad-hoc request and validation of the analytical and mathematical approaches underuse;
- Perform research and track industry changes in regulation, best practices, and their implementation using the in-house financial tools and systems, especially Bloomberg and preferably Blackrock Aladdin;
- Perform database management, and develop models for derivatives, fixed income and complex securities valuation and risk model development;
- Perform programming of the valuation/risk models as well as document existing processes and changes as they occur;
- Perform root-cause analysis of anomalies observed in the asset prices, including interaction with system vendors, counterparties, and banks;
- Support other quantitative analysts on the valuation team, including perform the review of the derivative models as well as fixed Income valuation model
Master’s degree in Mathematics, Quantitative Finance, Financial Engineering or Physics (foreign equivalent degrees accepted) is not required but is preferred. Experience in derivatives, fixed income, quantitative analysis, risk management, and/or portfolio analysis also a plus.