Pricing Analyst – Derivatives

  • Negotiable
  • Full Time
  • Anywhere
  • Posted 6 days ago

Pricing Analyst – Derivatives 

The Valuation Control role within Derivative Pricing & Risk will be responsible for pricing of clients OTC positions. A key component of this role will be to review valuations from multiple sources – determine the reason for valuation differences, model and/or data related & propose solutions as required.

Summary of duties involved :

  • You work extensively using the Calypso valuation platform
  • You will work with complex instrument workflows, position set-ups, OTC event processing.
  • Quantitative pricing to value complex instruments
  • Quantitative pricing models and products across product classes
  • Ability to review price for a third party source and assess the price quality and accuracy (understanding drivers of price and the assumptions feeding the model)
  • Ability to demonstrate understanding of the level of actual market prices relative to modeled output (ie. haircuts applied to modeled valuations)

Experience Required :

  • University degree / Masters in business, finance, mathematics or related field
  • Ability to reserve engineer derivative valuations
  • Proven Product control / Business Financial Control experience from major investment bank within Fixed Income, Credit &/or Structured Credit
  • Knowledge & understanding of models used to price derivatives in all four asset classes – Credit, FX, Equity & Fixed Income
  • Strong analytical skills
  • Accounting knowledge
  • Strong communication skills – verbal, written, & presentation
  • Ability to promote a strong sense of client satisfaction both internally & externally
  • Ability to communicate effectively across multiple skill-sets / departments
  • Relevant experience working with globally diverse teams

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Barbara Donnellan

Barbara Donnellan

  • Banking & Finance Manager