Delta Capita is hiring a
Junior Traded Securities and Derivatives Valuations Analyst

Summary

The job description is for a Junior Valuations Analyst position in Delta Capita's Valuations department in Amsterdam. The role involves supporting client demand and delivering regulatory and accounting requirements related to valuation risks. The key responsibilities include designing, implementing, and maintaining a compliant fair and prudent valuation framework, assessing market data used in valuation activities, developing IPV & Valuation Adjustment models, and other fair valuation-related activities.

Requirements

• University degree in Finance/Economics/Econometrics or other science subjects
• Interest/affinity with Finance on one (or more) of the Valuation workstreams described above. Preferably with an understanding of IFRS Fair Value and Prudent Valuation regulation requirements and/or some previous experience in the subject
• Basic understanding of the valuation and risks of financial markets products, preferably with experience in one or more business lines (Equity, FX, Credits, Interest Rates, Commodities, XVA)
• Ability to handle large datasets for analysis purposes and proficient Excel usage. Preferably with some programming knowledge using SQL, Python and/or VBA
• Ability/interest in documenting & implementing methodology requirements in both tactical and strategic IT solutions
• Ability to engage and manage expectations of stakeholders in large complex programs

Responsibilities

• Support fresh client demand focused on delivering regulatory and accounting requirements related to valuation risks of traded securities and derivatives
• Design, implement, and maintain a compliant fair and prudent valuation framework and governance for all Fair Value books
• Design and implement the framework to assess the observability, accuracy and uncertainty of market data used as input in valuation activities, as well as monitoring and analyzing the results from these assessments and propose different market data sources when required
• Development, implementation and roll-out of IPV & Valuation Adjustment models (such as market price uncertainty, close-out costs, concentrated positions, future administrative costs, etc), as well as ensuring appropriate model risk management for these models, in line with internal and regulatory requirements
• Development, implementation and roll-out of other fair valuation related activities, such as Fair Value Hierarchy, Day One P&L or new product initiatives where valuation modelling requirements/implications should be addressed and followed up