Description
This role covers the end-to-end IPV function for ICIB Global Markets Derivative asset classes covered: Interest rate, equity, commodity, currency Daily validation of all instrument pricing Validation of all market data used to value instruments Instrument valuation queries Development and implementation of PnL attribution General product control – event and instrument lifecycle management
Duties of the role include:
The creation of end of day price testing mechanisms for all trading desks Creation of PnL attribution for all trading desks – inclusive of xVA Daily comparison of internal market data to external market sources Monitor daily amendments made to static data in front office systems Understand and assist accountants with trade valuation Identify internal control weaknesses and implement corrective procedure Drive new initiatives in terms of valuation of new instruments and products Input to new framework for Valuation and Reserving Ability to apply analytical and strategic thinking to: Trade lifecycle – market risk, credit, legal, trading, operations, regulation, audit, collateralValuation – instrument valuation, valuation parameters and inputs
Experience, skills and capability
BSc Mathematics or Quantitative Finance or Financial Mathematics Deep conceptual understanding of financial and derivative instruments Strong numerical and mathematical skill set Programming languages an advantage
Investec Culture
At Investec we look for intelligent, energetic people filled with passion, integrity and curiosity. We value individuals who in turn value our culture that is, a flexible attitude comfortable to live with ambiguity and willing to challenge the status quo. Diversity, talent and leadership are respected in pursuit of the growth of our business. People who can manage themselves and build strong relationships in order to get things done, will perform in out of the ordinary ways in our environment.
We are committed to diversity and inclusion when recruiting internally and externally.
