Derivative Pricing SME

Job Title: Derivative Pricing SME
Contract Type: Permanent
Location: City of London, London
Salary: £35000 - £45000 per annum + bonus + pension + benefits
Start Date: ASAP
Reference: BBBH7319_1512665517
Contact Name: Simon Warburton
Contact Email: swarburton@venquis.com
Job Published: December 07, 2017 16:51

Job Description

  • Derivative Pricing Subject Matter Expert required by leading global London-based asset management company (Derivatives, derivative, pricing, price, SME, valuation, valuations, value)

    The duties of the successful candidate will be:

    • To ensure that the calculation of the total value of OTC trade exposures, in line with the conditions stated in the transaction documentation (ISDA Agreements and Credit Support Annexes) for specified clients, is properly undertaken.
    • To build and develop models for the pricing methodology and requirements for new instrument types entered into by the fund managers, ensuring that all derivatives valuation platforms provide accurate pricing calculations.
    • To liaise with counterparties and other Operational areas to resolve queries and overcome operational difficulties.
    • To update and maintain records on relevant systems to enable valuation, accounting and monitoring activities to be accurately completed for daily priced clients in line with agreed deadlines.
    • To prepare and distribute reports providing management information on outstanding trades, analysis of positions, price queries and issues resolved or still to be resolved.
    • To identify changes required to task lists, procedures manuals and risk controls, and advise the Pricing Manager accordingly
    • To communicate with, assist and advise Front Office, Investment Risk, Investment Operations and other staff on derivative activities and pricing approach and methodology.
    • To act as the first point of escalation for respective day to day issues, ensuring that the Pricing Manager are aware of current position and action being taken to address the issues.
    • To participate in Derivative Pricing projects including new instruments, new clients and new vendors as well as projects that provide efficiencies and automation. Actively managing these in line with expectations. Ensuring that the Pricing Manager is aware of current status, issues arising and expected delivery date.



    University Degree

    Strong PC skills particularly in Microsoft Excel

    Familiarity with derivatives documentation and processes gained in leading investment bank or asset manager.

    Highly numerate ideally with experience of modelling and pricing vanilla & complex interest and inflation rate derivative products or similar products

    Accurate and timely delivery of work in a deadline sensitive and pressured environment

    Eagerness to develop new skills and learn functions

    Self disciplined, organised and self motivated

    Good written and verbal communication skills

    Team player who is flexible in their approach to work


    CFA Qualification

    Ability to write Excel macros

    Previous use of Lombard Risk Oberon and Colline software, Beauchamp FM and Markit PV systems or equivalent

    Good experience in portfolio administration covering a wide range of operational functions

    Detailed experience and understanding of the Credit Default Swaps, Total Return Swaps and OTC options

    Able to see the 'bigger picture' in terms of considering effect on downstream processes and adding value across the business.

    Able to challenge current conventions and bring fresh perspective to processes to identify efficiencies and risk reduction.

    This is a fantastic opportunity to greatly improve front office business knowledge in a fund management company which heavily invests in its employees.

    Get in touch ASAP on 0203 405 3514 or swarburton@venquis.com!

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