IPV Analyst


Posted: 25/11/2016

  • Salary: GBP 400.00 per day - GBP 401 per day
  • Location: London
  • Job type: Contract
  • Reference: BBBH135255

Work as part of the Exotic Rates and FX IPV (Independent Price Verification) team. Main focus will be on Rates products, specifically CMS Swap/ options and Inflation Swaps. Their will be monthly delivery of price/parameter testing including uncertainty reserves and in addition assist colleagues with administrative and reporting tasks.

The exotic products covered by the team scan across all entities and businesses in the Group.
Interaction with Front Office, BUC, Market Risk, ModelValidation, Financial Control and Audit.
There is scope to work on various projects ( streamlining, system migration, IPV automatic)

  • Work within the Exotic IPV team to deliver IPV and Reserve results to the business
  • Deliver complete, accurate and timely results, obtaining all party agreement prior to the usual IPV month end meeting.
  • Review of parameters and assumptions used in the valuation of products, ensuring their accuracy and appropriateness.
  • Work with BLACK, SABR and HW models
  • Perform documention review of existing processes

Ad hoc duties include mid month data review, MIS reconcilations, Rubix development and Submission preparation.

Formal education:
- Ideal candidate would have a degree in a highly numerical subject (Mathematics / Physics)

Work Experience:
- Strong IB experience within interest rate derivatives including specific valuations and price testing of CMS and Inflation products is a must. Additional knowledge of Complex FX OR Bermudan products is an advantage.
- Demonstrate a solid understanding of Exotic Products, in particular Quantos and Inflation products.

- An ability to communicate well with all the stakeholders

- Ability to work to tight daily and monthly deadlines

- A highly self motivated individual who can demonstrate good attention to detail.

- Good understanding of Microsoft Excel, Access, VBA, SQL and an appreciation of each systems capabilities to perform in a Finance environment.

McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.