The VCG team provides the primarysupport and expertise for complexvaluations andvaluation queries from bothinternal and external clients. The team functions as the Subject Matter Experts for OTC derivativesvaluation, across a wide array of derivative products including rates, credit,equity, FX, inflation, cmdty, and volatility / variance swaps.
The team is looking for a Vice President to manage the daily activities of the team, as well as projects and initiatives related to new product testing, analysis, and client onboarding. This is a unique opportunity to work in a cross-asset environment with exposure to all types of OTC derivatives from vanilla to complex products.
Summary of Responsibilities
Manage daily responsibilities and ongoing initiatives of the OTC Derivatives Valuations team
Ensure the successful, accurate, and timely valuations of clients’ OTC derivatives portfolios each day
Lead the team’s initiatives for existing and prospective clients, new product launches, client pitches, Audit, Internal Controls, client onboardings, and technology enhancements
Provide subject matter expertise on derivatives valuations and methodologies, across all asset classes
Produce and analyze valuations on OTC derivatives within client portfolios on a daily basis. This will also involve comparing and analyzing OTC valuations across multiple sources and the candidate should be able to quantify – and clearly articulate – any valuation movements through the Greeks
Establish and develop strong relationships with internal and external clients, other internal stakeholders
Other functions as the role and team develops
Light travelrequired (<10%)
Background in Data Science and Machine learning methods (Python & R) as well as Business Intelligence tools such as Tableau & Qlikview. Experience using Drag and Drop coding platforms such as Spotfire, Dataiku, DataRobot & AWS Cloud, etc. to drive automation of new and existing Operations processes a plus.
OTC Derivatives valuation knowledge across multiple asset classes, including sensitivity analysis (pv01, delta, gamma, vega, theta, rho, etc,..) and how these are calculated and used to analyze OTC valuations, is a firm requirement
7-10 years of prior Middle Office or Trading Desk experience with a background in OTC derivatives
Minimum of 5 years of management experience, preferably on a Derivatives Valuations Team
Experience in and comfortable working within a highly controlled, regulated environment
Experience in Bloomberg, Reuters, other trading or risk mgmt platforms
Advanced degree (MS, CFA, FRM, CQF) or progression towards, is highly positive.
Req #: 180117605