Macro Valuation Manager

A Career with Point72’s Valuation team

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.

What you’ll do

As the Macro Valuation Manager, you will manage the valuation process for mortgage and various other macro products, including credit derivatives, interest rate swaps/swaptions, FX derivatives, government bonds, and corporate bonds. Specifically, you will:

• Manage the valuation process on market data inputs to the valuation models (yield curve, volatility surfaces, credit curves) and ensure the valuation process is in compliance with Point72’s valuation policy
• Perform model validation on new valuation models required for model upgrades or the new products
• Perform price testing analysis with counterparty valuation and other third-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 the Technology team to implement valuation setup for new products and automate the valuation process

What’s required

• 5-7 years of valuation experience on Mortgage products (Mortgage Specified Pool, TBAs, TBA options, and other Mortgage-backed securities)
• Strong knowledge of Mortgage products valuation modelling principles
• Strong Quantitative Finance background required
• Knowledge of financial products and greeks, specifically in derivatives space
• Strong personal ownership and ability to resolve issues independently
• 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 leadership skills to educate, train and develop others to expand the capabilities and capacity of the Valuation team
• Commitment to the highest ethical standards

We take care of our people

We invest in our people, their careers, their health, and their well-being. When you work here, we provide:

• 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 LGBT+ community
• Mental and physical wellness programs
• Tuition assistance
• A 401(k) savings program with an employer match and more

About Point72

Point72 Asset Management is a global firm led by Steven Cohen that invests in multiple asset classes and strategies worldwide. Resting on more than a quarter-century of investing experience, we seek to be the industry’s premier asset manager through delivering superior risk-adjusted returns, adhering to the highest ethical standards, and offering the greatest opportunities to the industry’s brightest talent. We’re inventing the future of finance by revolutionizing how we develop our people and how we use data to shape our thinking. For more information, visit www.Point72.com/working-here.

The annual base salary range for this role is $170,000-$215,000, which does not include discretionary bonus compensation or our comprehensive benefits package. Actual compensation offered to the successful candidate may vary from posted hiring range based upon geographic location, work experience, education, and/or skill level, among other things.