Portfolio Pricing and Valuations Analyst

Portfolio Pricing and Valuations Analyst

We are seeking a skilled and detail-oriented professional to join our team as a Portfolio Pricing and Valuations Analyst. The successful candidate will focus on managing and enhancing the MLP pricing and PnL platform for equity volatility and exotic products. This role involves leading the calibration of pricing parameters, validating pricing models, and monitoring and analyzing PnL.

Principal Responsibilities

• Lead the calibration and marking of equity volatility and exotics pricing parameters used for official PnL and risk calculations.
• Collaborate with the market data teams to source, analyze, and manage external volatility market data.
• Collaborate with the technology and quant teams to enhance pricing and calibration models. Validating pricing models to ensure accuracy and reliability.
• Maintain, monitor and establish procedures and controls to price equity volatility and exotic products, and sign off on the firm’s official end of day marks and surfaces/curves.
• Motoring and developing controls for intraday PnL associated to equity volatility positions. Review and sign-off the EOD PnL.
• Break down the performance of equity vol and exotics positions into its various components, including market movements (Greeks-based PnL attribution), idiosyncratic events, trading activities and other factors to explain the drivers of performance. Prepare performance attribution reports for senior management, highlighting the primary PnL drivers and running ad-hoc detailed analysis when required
  
  

Qualifications/Skills

• An advanced degree or equivalent in a quantitative subject such as Engineering, Mathematics, or Physics, plus at least 5 years of relevant work experience
• Advanced knowledge of equity derivatives products and risks
• Proficiency in Python and experience with data analysis
• Exceptional attention to detail, with a strong sense of ownership and urgency in delivering results.
• Excellent communication skills and a collaborative mindset
  
  

Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.