Risk and Valuation Specialist
Main Job Functions/Tasks
The Risk and Valuation Group is responsible for performing valuations of Interest Rate , FX, Credit, Volatility, Commodity derivatives, and hard to price securities like ABS, private investments, Term Loans for clients globally. The Risk Management services offered by the group include providing Sensitivity/Exposure reports, Scenario, Stress testing, VAR, transparency reporting for portfolios consisting of multiple asset classes.
More about the role:
This role provides a unique opportunity to work closely with a wide range of derivative instruments and strategies traded by hedge funds globally, and understand their unique Risk management needs. You will join a leading team of quants and get an opportunity to leverage your independent thinking, problem solving and quantitative abilities to offer practical solutions to Hedge Fund clients
Valuation:
Value OTC derivatives held by clients using in-house tools
Non-exhaustive list of OTC derivatives - CDS, IR Swap, Swaption, FX Option , Equity/Index Option, Variance Swap
Analyze difference in values when compared to multiple sources. Understand what factors drive the value, what are the causes of differences – market data, OTC setup, model
Work directly with clients to resolve valuation related challenges, communicate status update to various teams
Work to improve controls around valuations, market data
Risk Reporting:
Produce Risk reports for clients in-line with the SLA – Sensitivity/Exposure reports, Scenario Analysis, Stress Testing, VAR, transparency reports like Open Protocol, risk sections of regulatory reports like Form PF, Form PQR, AIFMD
Analyze the risk reports for correctness, understand risk behavior of various strategies and asset classes
Ad-hoc risk reporting for clients as needed
Assist in improving Risk and Valuation capabilities
Model new OTC derivatives, improve existing models, understand derivative market conventions, benchmark against other sources of valuation, work with clients on improving models
Evaluate vendor offering and market data sources
Improve coverage of asset classes in Risk reporting, streamline risk calculations for various instrument types , fill any coverage gaps or inconsistencies
Work with technology team to assist in the process of improving the Risk and Valuation infrastructure - proof of concept, development, testing, providing feedback, rolling out the changes to all clients
Get involved in ad-hoc modeling and risk reporting for potential clients, assist in client pitches, new initiatives and designing solutions for clients
Other duties as assigned
Education, Qualifications and Special Training
Degree Qualified (2.1 and above) in Engineering/Math/Physics/Finance/Economics from a top university
Quantitative skills including basic calculus, statistics and financial math
Passionate about any field of interest
Experiences
Minimum of 5 yrs experience in leading financial institution hedge funds /asset management investment bank
Must have worked in one of these fields: Derivative valuation, Risk Management, Quantitative research, Financial engineering, OTC Trading
Should have a keen interest in learning about financial instruments, markets, derivatives valuation, financial engineering, risk management
Strong in excel, must be tech savvy - will need to quickly learn Excel VBA, SQL
Experience in FinCAD or other financial modeling libraries beneficial
Programming experience beneficial
Competencies
Business, Technical & Commercial Awareness
Quality & Risk Control ? Attention to detail
Problem Solving
Client Service
Communication
Team Work
Adaptability