Valuation Control / Model Calibration - VP

Eximius Finance
London, United Kingdom
80,000-100,000 plus benefits
19 May 2022
23 May 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
The VP level opportunity will have broad exposure across the global FX and rates inventory, offering global stakeholder engagement. You will work closely and collaboratively with Front office traders, model developer (quants strategies), model validation teams, and business finance - globally. The role sits within a lean team and will report directly into the Technical Lead of the Fixed Income team.

Key responsibilities:
  • Technical review and validation of the bank's recommended valuation models for fixed income products and associated risk factors
  • Review recommended valuation adjustment for model weakness.
  • Provide recommendations and approve valuation adjustment concerning calibration bias
  • Validate calibration procedure and methodologies
  • Analyse consistency and completeness of IPV methodologies
  • Develop and perform benchmark methodology for illiquid inventories and complex trades
  • Provision of quantitative technical analysis and advice to the valuation control Fixed Income division around new complex trades or other valuation control matters.

  • A candidate from a solid quantitative background who has experience in model calibration and benchmarking of valuation models and methodologies for fixed-income products and / or derivatives (Rates/FX/Commodities).
  • Advanced degree (Master or PhD) in quantitative fields is required (quantitative finance, maths, physics, statistics, engineering).
  • Proven industry and practical experience in valuation control and model calibration of fixed income derivatives and exotic products
  • A proactive and hardworking individual with strong communication skills and the proven ability to communicate effectively with team across multiple locations.

The role is intended to be based in London, but they would also be open to candidates in other locations (Singapore or US preferred)
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