Description : Department overview
Markit Portfolio Valuations provides an independent, post-trade valuation service to buy-side institutions globally, covering vanilla and exotic derivatives, cash instruments and structured notes across all asset classes.
The service also offers clients the ability to receive an aggregated set of counterparty marks for their trades.
Markit Portfolio Valuations is looking for a motivated individual with strong analytical skills to work within its interest rate and inflation derivatives product team.
The successful candidate will be responsible for the maintenance, development and calibration of pricing models for inflation and interest rate derivatives, pricing new exotic instrument types on the request of existing and prospective clients and providing technical expertise internally and externally on these asset classes.
Duties & accountabilities
Working on the quantitative, analytical and technological development of exotic interest rate and inflation derivative valuation capabilities
Providing on-going communication to clients on any issues relating to exotic interest rate and inflation derivative valuations including the co-
ordination of complex client trials and addressing nonstandard queries and price challenges
Enhancing existing pricing models or specifying / building / testing / calibrating pricing models to support new products within these asset classes
Ensuring the quality and reliability of market data inputs and calibrations for the pricing of the derivative instrument types within these asset classes
Working closely with other product groups and the global sales team in order to participate in driving the business and identifying product opportunities
Education and experience
Undergraduate or Master’s degree in a financial or quantitative discipline is essential
Proven track record in pricing interest rate or inflation derivatives with calibration to the traded markets is essential
Direct client-facing experience desirable
Strong analytical, quantitative and problem solving skills are essential
Proficiency in Excel and VBA essential, proficiency in XML and SQL desirable
Prior industry experience at reputable financial institutions or financial services firm is desirable
Practical understanding of the basics of mathematical finance and derivatives pricing
Strong Excel skills are essential
Understanding of the interest rate derivatives market including participants, conventions, operations and commercials
Knowledge of global regulatory requirements preferred
Highly motivated and eager to take the initiative
Strong attention to detail, both numerically and in written material
Willingness to be hands-on in dealing with requests, issues and queries relating to client valuations, analytics and market data
Strong skills required to be able to communicate effectively with external clients and across business units within the company
Ability to work well within a global team environment alongside other product analysts, quants and developers
It is the policy of IHS Markit to provide equal employment opportunity (EEO) to all persons regardless of age, color, national origin, citizenship status, physical or mental disability, race, religion, creed, gender, sex, sexual orientation, gender identity and / or expression, genetic information, marital status, status with regard to public assistance, veteran status, or any other characteristic protected by federal, state or local law.
In addition, IHS Markit will provide reasonable accommodations for qualified individuals with disabilities. We maintain a drug-
free workplace. For candidates in the US, we are a participant in E-Verify (see link below).