The FI Valuations team is primarily responsible for pricing and marking of all positions at Millennium, including derivatives. It is also responsible for model validation, and acts as the primary point of contact supporting portfolio managers for pricing or PnL questions. Teams are aligned by asset classes and interns will be aligned to one of the following: Equities, Fixed Income or Commodities.
The team work closely with business management, risk, operations, quants and IT, to develop the firm’s Pricing and PnL Explain platform, as well as maintain and support the existing processes to provide continuous firm-wide risks and P&L.
Job responsibilities
- Write and maintain code to improve and automate critical workflows and processes in support of the pricing, PnL and marks platform
- Analyze and present the main drivers of performance/PnL to senior management
- Create and maintain reconciliation reports to ensure the proper running of critical EOD processes
- Mastering different products/instruments which can be used for pricing and calibration
- Learn the mathematical details behind derivatives pricing models
- Interface with and support Portfolio Managers for any pricing/pnl questions, including pricing related issues
- Interact with developers/quants for model development, implementation, as well as validation and approval of models
Qualifications, skills and requirements
- Master’s students in their penultimate year of study and interested in a future career at a top-tier alternative asset financial services firm
- Minimum of 2:1 grade or higher
- Strong analytical skills and advanced knowledge of derivatives pricing models
- Coding experience in Python
- Business/Technical degree. Preferred majors: Finance, Math, Computer Science, Data Science, Engineering
- Effective verbal and written communication skills
- Ability to work on multiple tasks simultaneously
