City of London, London
£50000 - £70000 per annum + Bonus + Full Benefits
6 months ago
* Migration of Curve Construction and Price Revaluation process.
* Daily valuation of Derivatives / Securities portfolio and pnl reconciliation, and accurate reporting of Greeks and P&L to Front Office and Senior Management
* Analysis of credit simulation results and simulating exotic transactions to determine expected and potential exposures for xVA matter (CVA, DVA, FVA, OIS)
* Derivatives pricing testing and validation (IPV)
* Collecting and marking daily curve (Rates, FX basis and tenor basis curves) and volatility (cap and swaption) calibration
* Work with middle and back office groups to resolve any portfolio discrepancies and making improvements to daily processes.
* Assist the treasury and derivative desk by analysing and calculating valuation differences due to collateral changes on derivatives
* Analysing and calculating valuation differences due to collateral changes on derivatives
You will have solid work experience of IPV in OTC Derivatives trades, in particular Interest Rate Option Instruments (caps/swaptions); as well as working market knowledge of derivative products including structures, curve/vol matrix building, etc. knowledge of derivatives valuations and curve building fundamentals, coupled with strong Excel and VBA skills. Knowledge of Quant areas including Stochastic Calculus, Probability, Statistics, Monte Carlo.
The JM Group is operating and advertising as an Employment Agency for permanent positions and as an Employment Business for interim / contract / temporary positions. The JM Group is an Equal Opportunities employer and we encourage applicants from all backgrounds.