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VCG Currencies & Emerging Markets VP
Ref No.: 17-03630
Location: New York, New York
Position Type:Full Time
Pay Rate : $ 120,000.00 - 175,000.00 /Year
Valuation Control Group (VCG) is an independent control group which works in partnership with the business to ensure that the valuation of the firm's products and portfolios are both independently and fairly marked and that fair valuation processes are operated accurately and robustly. Valuation Control Group is also solely responsible for setting reserve policies and methodology's as well as monitoring compliance to policies to ensure appropriate level of reserving in the business. The group forms the primary interface for discussing valuation issues with the Front Office, but retains reporting lines through the Finance & Risk management chain.
The role is based in New York. Product mix is very broad and will cover vanilla to structured emerging markets interest rate and FX derivatives, with a focus on valuation.

Job Responsibilities
Ongoing monitoring of risk exposures, concentrations and market activity across the business to understand impact on reserves and parameters calibration in the book.
Driving efficient execution of key processes around Reserve Substantiation & Reporting, P&L Analysis and Price Testing
Work on projects to develop innovative, new risk measures and implement best practice methodology for fair valuation and reserve methodology
Validate and resolve price testing issues
Review 'approximately loaded' trades
Follow all relevant markets closely and ensure that reserves, P&L and market moves can be triangulated on a day-to-day basis
Partner and interact with global VCG team to devise consistent methodologies for reserves and price testing, and to produce monthly valuation reports.
Partner with Quantitative Research and Model Review groups to address any model limitations
Ah hoc projects and value – added analysis

Bachelor degree required, Masters preferred
Good existing knowledge of interest rate and FX markets and derivative products in general
An ability to use core business systems (eg. Kapital, Athena) to generate prices for various products would be beneficial
Track record of dealing with Front Office and coordinating with wide variety of other control groups, good team player
Excellent written and spoken communication skills
Commitment to getting things done to tight timeframes and detail focused
Ability to work with limited supervision and be able to reach appropriate decisions / conclusions
Strong commitment to learn and operate outside of comfort zone
Advanced competency in Excel, VBA beneficial