A unique opportunity to lead the Equity Derivatives Valuation team within a leading investment bank.  You will work closely with the Global Head of Valuations and be a key player in the build out and development of this area.

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Department Overview


The Independent Valuations Group is responsible for dealing with valuation related issues arising with the firms trading portfolio.  The group liaises with front office and risk management teams on valuation issues for existing and new trades and model-related issues.  The group also works closely with the other areas on provision methodology, design, and implementation.

Main Function

To ensure that the firm's equity derivative portfolio is appropriately valued, based on a combination of analysis of market data inputs, model calibration / other non-market parameters, and review/assessment of the pricing models and methodologies used at both a portfolio and individual trade level.

Main Duties

Part of a team engaged in the following:

• Price testing to consensus, exchange, broker, or other data of pricing inputs and model outputs for equity derivative products
• Calculation of applicable fair value / model reserves for equity derivative products
• Development of new price testing methods and model reserves
• Investigation of pricing / model uncertainty in methodology and parameters used
• Dealing with product control, risk management and quantitative departments on valuation and modeling issues
• Discussing price testing results, fair value and model reserves, general modeling issues / uncertainties with front office and reporting on suitability for specific products / markets
• Significant involvement in ad hoc projects / investigations

Person Requirements

•  Previous derivatives experience (preferably equities) in a valuations or technical product control role
• Strong product and market knowledge in relation to derivatives and related valuation / risk management issues
• BSc/MSc in quantitative discipline
• Strong IT skills (preferred exposure to some VBA or other programming)
• Ability to work independently to resolve unstructured problems
• Ability to interact confidently with FO and other quantitative departments of the bank in discussing pricing and modeling issues
• Excellent presentation and communication skills
• Ability to clearly present arguments and defend views under challenge from others
• Strong team player