Associate, Macro Valuation

Point72 • New York, NY

3d • $115,000 - $145,000

About The Position

The Point72 Valuation team manages the valuation of various investments ranging from the exchange traded products to derivatives traded in OTC markets, including equities, listed futures/options, bonds, fixed income OTC derivatives (interest rate swaps/swaptions, FX spot/forwards/options), credit derivatives, commodity products, venture capital and private equities. The Valuation team provides valuations and P&L for investments for portfolio managers, the Risk team, and senior management.

Requirements

• 3-5 years’ valuation experience on Fixed income derivatives such as Interest Rate, Credit, or FX derivatives.
• Strong knowledge of derivatives valuation modelling principles
• Strong Quantitative or Finance background
• Knowledge of financial products and greeks specifically in derivatives space
• Strong personal ownership and ability to resolve issues independently
• Ability to multi-task and adapt to fast-paced and changing work environment
• Excellent interpersonal skills, Communication skills (verbal and written), and the ability to work effectively on a team across functions (e.g., Risk, Operations, Front Office and Senior Management)
• Strong programing skills (VBA Macro, Python)
• Commitment to the highest ethical standards

Responsibilities

• Manage the valuation and models for various products, such as Credit derivatives, interest rate swaps/swaptions, FX derivatives, Government bonds, and Corporate bonds.
• 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’s valuation policy.
• 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.

Benefits

• Fully-paid health care benefits
• Generous parental and family leave policies
• Mental and physical wellness programs
• Volunteer opportunities
• Non-profit matching gift program
• Support for employee-led affinity groups representing women, minorities and the LGBTQ+ community
• Tuition assistance
• A 401(k) savings program with an employer match and more

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Education Level: No Education Listed
• Number of Employees: 1,001-5,000 employees