Interest Rates Valuation Control VP

Leading Investment Bank is hiring for a technical valuation controller to join their Exotic Interest Rate Derivatives in London.  This role has been created through internal mobility for a candidate who has moved into a Front office position and is an ideal role for a candidate looking for a highly technical position.

Main Duties

  • Provide monthly price verification and help running monthly review meetings with key stakeholders.
  • Addressing model limitations through reserve/valuation adjustment calculations.
  • Designing and executing price testing methodologies for instance on the SABR, LMM & Short Rate Models across the suite of Vanilla and Exotic Rates products i.e. Bermudans, Snowballs, CMS Spread Options.
  • Ensuring valuation consistency between exotic-vanilla models.
  • Casting a critical eye on the choice of calibration proposed by front office.
  • Provide Valuation analysis and consolidation of price testing information for Finance Management and the Valuation Committee and associated Sub Committees.

Skills Required

- Strong Mathematical academic background - minimum 2:1 degree from a leading university 

- MSc in Physics/Mathematical Finance/Quantitative Finance or CFA Qualified

-Experience in IPV/Valuation Control with another leading Investment Bank

-Extensive knowledge of  Exotic Interest Rates/FX Derivatives

-Strong Stakeholder Management Skills

The position comes with a strong project focus and it is essential you are able to provide evidence of identifying opportunities and delivering process improvements. This role offers strong career progression including the path to the Head of Valuation Control position or a move directly into the front office.