Department Overview The Finance department covers Product Control and Financial Control which are jointly responsible for the integrity of the financial records of Barclays Capital.
Department Overview The Finance department covers Product Control and Financial Control which are jointly responsible for the integrity of the financial records of Barclays Capital.
The Independent Valuations Group is part of Product Control and is responsible for dealing with valuation related issues arising with the firms trading portfolio. The group liaises with front office and risk management teams on valuation issues for existing and new trades and model-related issues. The group also works closely with the other areas within Product Control on provision methodology, design, and implementation.
Main Function To manage and lead a global team ensuring the firm's equity derivative portfolio is appropriately valued based on a combination of analysis of market data inputs, model calibration / other non-market parameters, and review/assessment of the pricing models and methodologies used at both a portfolio and individual trade level.
Main Duties Responsible for the management and development a global team engaged in the following:
Price testing to consensus, exchange, broker, or other data of pricing inputs and model outputs for equity derivative products
Calculation of applicable fair value / model reserves for equity derivative products
Development of new price testing methods and model reserves
Investigation of pricing / model uncertainty in methodology and parameters used
Dealing with product control, risk managment and quantitative departments on valuation and modelling issues
Discussing price testing results, fair value and model reserves, general modelling issues / uncertainties with front office and reporting on suitability for specific products / markets
Reporting / presentation of price testing results to Front Office, Risk Management and Finance
Significant involvement in ad hoc projects / investigations
Person Requirements
Extensive derivatives experience (including equities and exotic products) in a valuations, risk management or technical product control role
Strong product and market knowledge in relation to derivatives and related valuation / risk management issues
BSc/MSc in quantitative discipline
Strong IT skills (preferred exposure to some VBA or other programming)
Ability to work independently to resolve unstructured problems
Ability to interact confidently with FO and other quantitative departments of the bank in discussing pricing and modelling issues
Excellent presentation and communication skills
Ability to clearly present arguments and defend views under challenge from others
