Valuation and P&L Reporting Manager
  • Warsaw
  • Manager

Wioletta Augustyn

Hi, I’m Wioletta Augustyn and I’m the person to talk to if you’re interested in this job.

Phone:+48 791 592 727
Email:wiolettaaugustyn@cfw.pl
Connect on:

Main responsibilities
  • This job will give you the opportunity to manage the valuation and models for various products, such as interest rate swaps/swaptions, FX derivatives, Government bond, Corporate bonds, and Credit derivatives.
  • Manage process to control market data inputs to the valuation models (yield curve, inflation curve, volatility surfaces, credit curves etc.) and ensure the valuation process is in compliance with Point72 valuation policy.
  • Perform model validation on new valuation models required for model upgrades or the new products.
  • Perform price testing analysis with counterparty valuation and other 3rd party vendors’ prices such as Bloomberg or Markit. Maintain the valuation support as evidence that investment valuation is accurate.
  • Liaise with front office, risk team, and other supporting teams about pricing, valuation, P&L, and valuation models.
  • Work closely with Technology team to implement valuation setup for new products and automate the valuation process.
Person Specifications
  • 3-5 years’ experience pricing financial derivatives
  • Strong understanding of financial products including interest rate derivatives, FX derivatives, credit derivatives
  • Strong knowledge of modelling principles
  • Strong Quantitative or Finance background required. Master’s degree in Financial Engineering or mathematical finance is a plus but not required
  • FRM, CFA or comparable certifications or progress towards those certifications is a plus
  • Valuation experience in Corporate Bonds and Emerging market products is a plus
  • Knowledge of financial products and greeks specifically in derivatives space
  • Strong personal ownership and ability to resolve issues independently
Are you interested?
Apply for this position, request a call back to chat about the details or share the vacancy with your friends.
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