Valuation Controller

DESCRIPTION

Duties:

• Verify prices of derivative instruments from the trading desk.
• Ensure accuracy and compliance with market standards.
• Identify discrepancies and ensure valuations reflect current market conditions.
• Adjust fair value of financial instruments for market liquidity and credit risk.
• Ensure reported values are accurate and reflect true market value.

Develop and Run Intelligent Solutions Using Computer Applications:

• Use software tools and programming languages to automate processes.
• Analyze data and develop solutions to enhance efficiency and accuracy.
• Ensure documentation of standards and procedures is up-to-date and compliant.
• Document any methodology changes.
• Implement controls to maintain integrity and accuracy of documentation.

Provide support in resolving disputes over collateral valuation.

• Assess valuation methodologies and investigate from a price testing prospective.
• Partner with Quant research team and Technology teams for testing and providing feedback on technology projects.
• Participate in automating valuation processes.

QUALIFICATIONS

Minimum education and experience required:

• Master's degree in Quantitative Finance, Mathematics, or related field of study plus 3 years (36 months) of experience in the job offered or as Valuation Controller, Business Intelligence Analyst, Data Analytics, or related occupation.
• The employer will alternatively accept a Bachelor's degree in Quantitative Finance, Mathematics, or related field of study plus 5 years (60 months) of experience in the job offered or as Valuation Controller, Business Intelligence Analyst, Data Analytics, or related occupation.

Skills Required:

This position requires experience with the following:

• rate derivatives products, including interest rate swaps, forward rate agreements, interest rate caps and floors, cross-currency swaps, FX forwards, zero-coupon bonds, and vanilla options;
• pricing derivative instruments including selecting market convention and quantitative models for various trade structures and obtaining consensus price levels from third-party providers such as Bloomberg to ensure market-aligned valuations;
• investigating discrepancies for Mark-to-Market values with counterparty, identifying root causes of breaks, and developing effective solutions;
• constructing, reconciling, and validating financial curves, with a focus on risk-free rate (RFR) curves, SOFR curves, Term SOFR, and cross-currency curves, G7 single-currency curves and multi-currency curves for currencies with lower trading volumes and data points;
• analyzing and comparing curve building methods, including bootstrapping, linear interpolation, cubic spline, and exponential smoothing, while conducting risk analysis for curve tweaks to ensure accurate and reliable financial modeling;
• financial models including the Hull-White model for interest rate derivatives, the Black-Scholes model for options, the Binomial Tree model for option pricing, the SABR model for capturing volatility smiles in options markets, and the Monte Carlo simulation for derivatives and risk management;
• collecting and analyzing data from market sources such as Reuters and Bloomberg, focusing on financial instruments, payment schedules, settlement, calendars, and day count conventions for rate and fixed income indices used in rates products;
• using Python to process data sets for financial market data, conducting time series analysis, replicating cash flows for exotic structures and performing ad hoc trade modifications, including trade amortization and changes to discounting curves;
• Excel, including creating spreadsheets, using advanced functions including MATCH, VLOOKUP, SUMIF, INDEX, and DATE, and creating pivot tables, charts, and macros for automation;
• researching interest rate market changes, macroeconomic factors, and policies to assess their impact on financial markets;
• using trading systems for the trade lifecycle, including trade execution, order management, settlement, and post-trade analysis.

Job Location: 277 Park Ave, New York, NY 10172.

Full-Time.

Salary: $115,496 - $145,000 per year.