Specialist - Internal Valuation Process, Risk Management

3 weeks ago


Sandton, South Africa Investec Full time

Role Overview

This role is responsible for the end-to-end internal valuation process for ICIB Global Markets, encompassing the valuation of interest rate, equity, commodity, and currency derivative asset classes.

Key responsibilities include daily validation of all instrument pricing, validation of market data used to value instruments, and development of PnL attribution. Additionally, the role involves general product control, event, and instrument lifecycle management.

Key Responsibilities

  • Creation of end-of-day price testing mechanisms for all trading desks
  • Development and implementation of PnL attribution for all trading desks, including xVA
  • Daily comparison of internal market data to external market sources
  • Monitoring daily amendments made to static data in front office systems
  • Assistance to accountants with trade valuation
  • Identification and implementation of corrective procedures for internal control weaknesses
  • Driving new initiatives in instrument and product valuation
  • Contributing to the development of a new framework for valuation and reserving

Requirements

  • BSc in Mathematics, Quantitative Finance, or Financial Mathematics
  • Deep understanding of financial and derivative instruments
  • Strong numerical and mathematical skills
  • Advantageous: programming languages

Investec Culture

At Investec, we value intelligent, energetic individuals with passion, integrity, and curiosity. Our culture is characterized by a flexible attitude, comfort with ambiguity, and a willingness to challenge the status quo. We respect diversity, talent, and leadership in pursuit of business growth, and we seek individuals who can manage themselves and build strong relationships to achieve exceptional results.


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