Leading Investment Bank is looking to add an Interest Rate & Currency Manager to their Valuation Review Group.
The candidate will initially focus on the CPM desk whose mandate is to manage the counterparty credit risk of the Bank. The CPM desk is playing an increasingly important role given the need to closely manage counter party credit exposure with the volatility of the current credit market.
Responsibilities Include: Analysis and production of valuation review assessment; Articulate results of analysis to a diverse audience including Division CFO's, Trading Desk managers, Trading Management, and Risk Management; Opine on valuation issues, acting as product specialist / technical advisor to Controllers; Developing valuation methodology enhancements; Drive requirements for strategic technology framework; Analyze and present significant complex transactions to senior review committee.
The ideal candidate should possess at least 2 years experience with interest rate derivatives products and be proficient in the theory & application of option pricing models. An ideal candidate will have good knowledge of the CDS market and familiarity with Potential Exposure calculation and Monte Carlo simulations. A strong academic background, preferably in a quantitative discipline is strongly preferred. Strong communication skills are essential as the position entails a very high level of interaction and collaboration with Trading desks, Trading management, Analytical Modeling, Risk Management, and Controllers.
For more information or immediate consideration, please reference Job#JCK695 and submit resume in Word format to: ian@comprehensiverecruiting.com
