Fixed Income Valuation Analytics

We are seeking a Fixed Income Valuation Analytics professional to join our P&L and Valuation Analytics team within Middle Office. As part of this role, you will be responsible for maintaining, monitoring, and enhancing procedures and controls supporting intraday pricing and end-of-day valuation of financial instruments.

Responsibilities:

• Maintain, monitor, and enhance procedures and controls supporting intraday pricing and end-of-day valuation of financial instruments.
• Publish and sign off on the firm’s official end-of-day marks and curves, and manage related P&L processes.
• Build and maintain pricing models, mark OTC curves, and support the valuation of products across asset classes.
• Coordinate new product and security setup with Operations, Middle Office, Risk Management, and Technology teams.
• Serve as a primary point of contact for portfolio managers, coordinating the resolution of P&L, pricing, position, technology, risk, and security setup matters.
• Analyze P&L, risk, and pricing processes and partner with Front Office, Technology, Risk Management, and Operations on cross-functional projects.
• Ensure valuation policies and procedures are followed accurately and consistently.

Requirements:

• Strong product knowledge across sectors and tradable instruments, specifically fixed-income products.
• Bachelor’s degree from an accredited university or college with a strong academic record.
• Programming experience using Python and/or VBA to analyze time series and automate processes.
• Working knowledge of options pricing models, Greeks-based P&L attribution, volatility configurations, and interpolation and extrapolation methodologies.
• Experience building and maintaining OTC futures curves.
• Experience partnering with Technology teams as a product owner to prioritize work, define requirements, build systems, and resolve issues.
• Proficiency with Bloomberg and Reuters, along with experience documenting procedures.