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Valuation & Risk Control Analyst
Valuation and Risk Control Analyst - Equity Derivatives
12 months contract role - £550.00 daily rate
ENTITIES: CIB / ITO / Global Market Operations
The Valuation & Risk Control team sits within Capital Markets and is in charge of:-
- Analysis of the standard parameters allowing to calculate the valuation of the books,
- Monitoring of “local” risk limits and analysis of the results realized on the books in the light of the mandates of the traders.
- Control of the good use of the models and their parameter setting for the calculation of the official result.
- Management of the « abnormal trading patterns » follow up process
- Follow-up of the projects on the market data and the economic P&L
- Management of the “X-Risks” Dashboard
The Valuation & Risk Control team intervenes on the whole perimeter where Capital Markets is present, meaning on the principal money markets (New York, London, Hong-Kong, Tokyo, etc).
Paris GECD Valuation & Risk Control is part of the Capital Markets Valuation & Risk Control.
Valuation & Risk Control Capital Markets reports to the global COO of Markets Capital.
MISSIONS
We are looking for a valuation and risk controller who will be in charge of the team mandate with a direct link to Trading, Research, Finance and Operations.
Inside a team of a human scale in a dynamic environment, the ideal candidate will be firstly a willing participant with a very good knowledge on the trading book analysis under the three axis Risk-Underlying-Model, secondly a very good communicator able to detail the methodologies used for computation or discuss the results in various committees. But he will also take an active part in the team projects and finally will have the potential and the behaviour to become a new leader in the team.
OBJECTIVES
- Ensure the independent verification of prices for Equity Derivatives activity (EQD)
- Produce reports highlighting the underlying coverage and the IPV (Independent Price Verification) results
- Ensure the control and the validation of the pricing methodologies used for the Official Profit & Loss calculation
- Ensure a close follow up on the market data cartography and pricing config cartography
- Analyse the risks on the trading books
PROJECTS
- Implementation of new processes where the responsibility is being transferred from another team. Identify and request pricing methodology updates with the help of the Market Risk team
- Implementation of new processes coming from regulators decisions
- Work on the automation of manual processes launched via Excel/VBA/Python spreadsheets and/or Access databases
- Improve our internal systems with the help of IT teams
- Be proactive in the propositions fr the improvement of the actuals process/methodologies
NECESSARY TECHNICAL SKILLS
- Excellent knowledge in Math’s or Statistics
- Strong knowledge on a wide range of derivatives products with a good appreciation of their pricing drivers
- Strong programming skills in Python, Excel/VBA & Access
- To be able to work in a demanding environment, with the ability to work well under strong pressure.
- Fluent English spoken
- Excellent communication, quantitative and analytic skills
NECESSARY BEHAVIOUR SKILLS
- To work in a climate of confidence and to adhere to a project or a new organization
- To be very self-disciplined, reactive, able to take initiatives and autonomous in its job
- Constant worry of the good quality of the rendered customer service
- Strong team player as it is important to interact successfully with other team members and management.
- Sense of the risk
- Creativity and Innovation / Ability to solve issues
We are offering a strategical role in a stimulating and challenging environment inside a growing department that allow you to develop yourself and take benefit of real evolution perspectives.
McGregor Boyall is an equal opportunity employer and do not discriminate on any grounds.
email - as they go live.
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Clients include banks, insurance companies, pension and hedge funds, asset managers, energy producers and refiners, as well as risk and compliance managers and charities.
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- Ability to effectively prioritise and execute tasks in a high-pressure environment.
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- Daily interaction with all internal stakeholders with regards to support issues
- Efficiently create and track issues within an incident-management system to help identify trends and patterns
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- Solid application support experience within a Unix / Linux environment
- Good working knowledge of the FIX protocol
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- Managing team chats, queues, and mailboxes to ensure requests are being actioned in a timely manner with appropriate prioritization
- Ensuring incident and problem management procedures are followed and performing analysis to determine trends and patterns
- Assist with product testing and project work
- Working within a shift rota to provide support coverage from 7am – 6pm
- Contribute towards ‘follow the sun’ support model, working closely with global teams in APAC and US to ensure pre-market health checks are performed for each region
- Performing regional start of day health checks to ensure all processes are up and members are connected to the platform
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- Ability to convey expected behaviour of industry-standard algorithms (VWAP, TWAP, IS, POV etc)
- Experience managing a small support team, preferably within the front office
- Excellent working knowledge of the FIX protocol
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- Proven experience of MSSQL, Oracle and Sybase database environments, including complex query writing
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