Equity Derivatives Valuation Analyst - London, United Kingdom - AMS Contingent

AMS Contingent
AMS Contingent
Verified Company
London, United Kingdom

2 weeks ago

Tom O´Connor

Posted by:

Tom O´Connor

beBee Recruiter
Description
We are AMS.

We are a global total workforce solutions firm; we enable organisations to thrive in an age of constant change by building, re-shaping, and optimising workforces.

Our Contingent Workforce Solutions (CWS) is one of our service offerings; we actas an extension of our clients' recruitment team and provide professional interim and temporary resources.


Our investment banking client has been present in the UK for more than 150 years, they're a long-term partner to British business.

Today, the Group is formed of 10 divisions and employs 9,300 staff based in 21 core locations right across the country.


Theirrole is simply stated:
help clients achieve their goals by combining local know-how and global reach. In so doing, they seek to make a positive, sustainable contribution to both the UK economy and society.


On behalf of this organisation, AMS are looking for an
Equity Derivatives Valuation Analystfor a
6-month long contract based in
London.


Purpose & scope of the role:
The role is based in London and reports to the head of the Valuation Risk & Governance team.

The person appointed will be dedicated to delivering the supervision duties in relation to Equity Derivatives product scope, with focus on the economic, fair, andprudent valuations used by the business.


The team is organised around a monthly rhythm/cycle where it's in charge of reviewing the controls performed by some departments involved in the valuation and valuation control processes, namely the Product Control, the Global Markets teams, and the Tradingand Research departments.

The role's objective is to ensure the controls performed at all levels are exhaustive, effective and appropriately documented.


As an Equity Derivatives Valuation Analyst, you will:

  • Ensure that appropriate controls over valuation-related configurations (including model mappings, pricing configurations, market parameter configurations, reserves parameterisation, fair value hierarchy configurations) are adequately maintained by the relevantdepartments and are in line with the approved methodologies and internal policies.
  • Ensure that appropriate controls over official market data used in P&L production are in place and that marking is economically fair and compliant with accounting rules and the organisation's independent price verification (IPV) policy by liaising withthe relevant departments performing the IPVs, reviewing and at times critically analysing monthly IPV results and procedures, and attending Market Data Control Committee meetings.
  • Report monthly to senior management on the results of monthend IPV controls, reserves, DOP, marking differences, and identified marking or control issues.
  • Contribute to the Observability review of the market parameters, and prepare the discussions and reporting in the Observability Valuation Model committees.
  • Contribute to the assessment of the soundness of the Day One Profit Process (DOP) and the balance sheet fair value hierarchy aggregates and related financial disclosures.

What we're looking for:


  • Good understanding of Equity Derivatives products (EQD Forward and Options, Autocalls, convertibles) and related market data (repo and dividends, volatilities, correlations, etc.)
  • Good understanding of risk concepts (delta, vega, VaR)
  • Good computer skills (advanced Excel and some basic coding skills preferably Python or VBA)
  • Relevant experience in financial industry preferably in risk management or valuation control.
  • Relevant degree.
  • Proactive attitude and cando approach.

This client will only accept workers operating via an Umbrella or PAYE engagement model.

AMS, a Recruitment Process Outsourcing Company, may in the delivery of some of its services be deemed to operate as an Employment Agency or an Employment Business.

More jobs from AMS Contingent
See all jobs of AMS Contingent