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Quantitative Valuations Analyst

Ref: 9219925

  • Negotiable, depending on experience
  • 21 Jan 2020
  • Dublin (Central)
  • Contract


Essential Responsibilities:
• Develop models, set up and configure instruments, construct market data curves, calibrate volatility surfaces and run controls to ensure the accuracy of company debt and derivative valuations used for financial reporting, hedge accounting, collateral management and current exposure measurement. • Develop, test, document and roll-out valuation related product enhancements including curves, methodologies and models • Support change management activities through the incorporation of new financial products, indices and currencies in valuation/pricing systems. • Design bespoke valuation models to meet business needs. • Assist in team development through cross-training and mentoring. • Validate MTM outputs through in-house analytics and use of independent derivative valuation applications. • Design and develop valuation-related analytics to provide value-add service to business users. • Provide support to key strategic initiatives
Qualifications/Requirements:
• Post Graduate qualification in a quantitative discipline with an in-depth knowledge of Mathematics and Probability as it applies to the financial markets. • Proven experience related to derivative valuation and modeling, including but not limited: • Theoretical understanding and practical experience of swap curve construction including relevant market instruments, curve bootstrapping and interpolation methodologies • Valuing fixed income and derivative instruments, including callable debt, interest rate swaps (incl. ‘in-arrears’, CMS, OIS, basis swaps), cross-currency swaps, caps/floors, equity and credit derivatives • Familiarity with market data, data sources (Bloomberg, Reuters, Markit, etc.), conventions and their application to curve construction, valuation and related analytics • Experience configuring and using off-the-shelf fixed income derivative valuation systems and tools (Matlab, Fincad, SuperDerivatives)
Desired Qualifications:
• Prior work experience in Finance, Capital Markets or Treasury, active interest in Financial markets particularly as it relates to valuation/pricing of derivatives. • Prior experience in demonstrating successful cross-functional engagement and consensus building. • Strong interpersonal & communication skills, can-do-attitude / self-starter. • Experience with and understanding of CSA/OIS discounting methodologies. • Demonstrated success in delivering projects and driving process simplification. • Ability to effectively convey complex technical information to a ‘non- technical’ audience. • Familiarity with Wall Street Suite (WSS) If you’re interested in this or other financial services jobs, please contact John Howe on 01 662 1000 or email j.howe@brightwater.ie