HR Recruiter at Black Turtle
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Assistant Vice President - Valuation Quant (8-10 yrs)
Assistant Vice President - Valuation Quant
- Define the methodology for IPV and associated Liquidity/Model/Deal Specific Valuation Adjustments (VA) for any given product or risk (including regular methodology reviews and advice on re-calibrations) knowledge of XVAs are a plus.
- Create the standard process via system or spreadsheet on how to execute the methodology in line with compliance requirements
- Perform reviews and approval of all market data constructions, functions and models used in production to value transactions
- Review and Challenge the IPV processes conducted by Business Finance and Control (BFC)
- Review of material new deals and changes to models and market data configurations
- Assist with implementation of strategic projects, such as key risk management and system enhancements
- Working closely with Traders, Market Risk Management, Model Risk Management, FO Quants, BFC, senior managers on new product, model development, model sign-off etc.
- Define Fair Value Hierarchy categorization and justification and create the framework of a given product, risk, or portfolio as appropriate
- Define Liquidity (covered/non-covered) and create the framework of a given product, risk, or portfolio as appropriate
- Financial Modeling experience or equivalent in Equities
- derivatives valuation and independent price verification experience in Equities
- Working knowledge of MS Office applications including VBA, MarkIT, Reuters, Bloomberg.
- Demonstrate ability to interact with personnel at all levels of a Top tier Financial Organization
- University degree in Finance, Engineering, Mathematics or related degree.
- Post-graduate university degree (MFE or PhD preferred)
- Computer Programming Skills - Python
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