Risk and Valuation Specialist

Locations: Dublin
Categories: Accounting & Finance / Insurance
Job Listed Until: Thursday, December 31, 2020

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   

 

€70,000 PER ANNUM

Ref: SR00016

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