Our client a Commodity Brokerage company based in the City of London and looking for a Risk Valuations Analyst.
- Develop complete understanding of firm-wide trading positions, systems, models, data inputs and pricing sources across all entities to ensure completeness, accuracy and validity of all prices and margins.
- Analyse and provide recommendations to improve the processes and procedures for ensuring accurate, daily mark-to-market of customer and company positions.
- Identify weaknesses in processes and price testing sources with ability to document, present findings and offer alternative solutions.
- Research complex analytics to assist the company with capital allocation decisions.
- Conduct weekly liquidity stress testing for the firm’s entities.
- Participate in model validation reviews with other risk, back-office and front-office personnel or groups.
- Participate in new product/system reviews and represent the valuation group point of view.
- With Market Risk, research various instruments and margining techniques, and suggest trading limit methodologies.
- Build working relationships with risk strategy, risk compliance, front-office IT and back-office IT to accomplish all the tasks of the valuation group.
Knowledge and Experience
- 2+ years hands-on technical experience across a range of financial products, OTC derivative products (e.g. valuation, price testing, modelling and/or P&L analysis).
- Programming experience in at least one of: SQL, Python, MATLAB, SAS, R or similar is required.
- 2+ years’ experience with databases and data manipulation technologies is required (Excel, SQL, VBA, etc.)
- Knowledge of both derivatives life-cycles and how derivative valuations are calculated is essential.
- Technical knowledge of models, forward and volatility curve interpolation/extrapolation, model risk mitigation practices and understanding these as it relates to the underlying asset class.
- Experience with market data terminals preferred (Bloomberg, Reuters).
- Strong and thorough attention to detail with the ability to handle multiple projects simultaneously.
- Able to work with a minimum of supervision while understanding the necessity for communicating and coordinating work efforts with other employees and organisations.
- Excellent communication and interpersonal skills with the ability to present information in a concise and informative manner.
Qualification and Skills
- Bachelors and Masters’ degrees in Financial Engineering/Maths/Computer Science/Finance.
- FRM or PRM Certificate (or in-process) preferred.
For more information please contact Sam at Marlin Selection or apply via the link provided.