Junior Derivatives Product Controller

JM Group
35000.00 - 50000.00 GBP Annual
18 May 2017
25 May 2017
Contract Type
Full Time

Financial Services Organisation is hiring for a Junior Derivatives Product Controller. This role is to support the Securities and Derivatives businesses. This is a permanent role with a salary range of GBP35K - GBP50K.

Responsibilities include:
* Daily valuation of Derivatives/Securities portfolio and pnl reconciliation, and accurate reporting of Greeks and P&L to Front Office and Senior Management
* Collecting and marking daily curve (Rates, FX basis and tenor basis curves) and volatility (cap and swaption) calibration
* Work with middle and Back Office groups to resolve any portfolio discrepancies and making improvements to daily processes.
* Derivatives/Securities pricing testing and validations (IPV)
* Assist the treasury and derivative desk by analysing and calculating valuation differences due to collateral changes on derivatives
* Analysis of credit simulation results and simulating exotic transactions to determine expected and potential exposures for xVA matters (CVA, DVA, FVA and OIS)
* Analysing and calculating valuation differences due to collateral changes on derivatives

You will have a solid knowledge of derivatives valuations and curve building fundamentals, coupled with strong Excel and VBA skills. Knowledge of Quant areas including Stochastic Calculus, Probability, Statistics, Monte Carlo.

The JM Group is operating and advertising as an Employment Agency for permanent positions and as an Employment Business for interim/contract/temporary positions. The JM Group is an Equal Opportunities employer and we encourage applicants from all backgrounds.