Macro Valuation Associate
Posted on 12/22/2022

1,001-5,000 employees

Discretionary short/long, macro, & systematic trading firm
Quantitative Finance
Company Overview
Point72's mission is to be the industry’s premier asset management firm through delivering superior risk-adjusted returns, adhering to the highest ethical standards and offering the greatest opportunities to the industry’s brightest talent.
New York, NY, USA
Experience Level
  • 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
  • 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
  • Fully-paid health care benefits
  • Generous parental and family leave policies
  • Volunteer opportunities
  • Support for employee-led affinity groups representing women, people of color and the LGBTQ+ community
  • Mental and physical wellness programs
  • Tuition assistance
  • A 401(k) savings program with an employer match and more