Manager, Derivatives Valuation and Analytics
The Manufacturers Life Insurance Company
Toronto, ON CA
3d ago

Job Description :

Are you looking for unlimited opportunities to develop and succeed? With work that challenges and makes a difference, within a flexible and supportive environment, we can help our customers achieve their dreams and aspirations.

Job Description

Global Derivative Services has the mandate to manage the derivatives valuation processes for financial, regulatory, compliance and internal reporting.

The Derivatives Valuation and Analytics function is accountable for ensuring correct ongoing valuation of all derivatives within the organization booked in the Findur system, as well as for providing reporting on these positions to internal business users.

This role requires collaboration across the organization and is not limited to interaction with front office, risk, credit, finance, compliance and technology personnel.

Reporting to the Director, Derivatives Valuation and Analytics, this position is based in the Toronto head office and focuses on the daily valuation of the total company derivative transactions within the Findur System.

The group services the derivatives activity of both the General Account and Investment Management arms of the business.

Responsibilities :

  • Work closely with business units, portfolio managers and front office to assess requirements of valuing new and existing derivatives positions, of sensitivity analysis and performance attribution for existing positions
  • Interface with Models & Analytics, Market Risk Management and Derivatives Operations teams to implement new curves and models in the Findur pricing system
  • Work with the Derivatives Solutions team to support the setup of technology to facilitate trading of new derivative product types
  • Monitor and report derivatives positions to satisfy regulatory and compliance requirements
  • Develop and maintain controls to ensure derivatives are valued correctly in the system
  • Reconcile mark-to-market differences with the counterparty and communicate issues to Collateral and Investment Risk teams
  • Take ownership of projects to enhance risk controls and reporting
  • Continuously evaluate, identify and recommend practices and controls that will increase process efficiency and mitigate financial and operational risks
  • Support derivatives valuation, including the assignments above, for both the General Accounts and Manulife Investment Management
  • Develop work plans that prioritize business needs of all stakeholders, establish project deliverables, timelines, and budget
  • Exercise judgment in identifying issues, modifying plans as demands change, assessing courses of action, and developing recommendations
  • Participate in ad-hoc projects across various Middle Office teams as needed.
  • Qualifications :

    Education and Experience Requirements :

  • Education in business finance, quantitative finance or statistical analysis (Masters in Financial Engineering / Mathematical Finance / Statistics) or other quantitative discipline.
  • Three to five years of hands-on experience with derivative products. Familiarity with a variety of derivative products including futures, listed and OTC options, FX forwards, OTC and centrally cleared interest rate swaps, swaptions, bond forwards, cross-
  • currency and total return swaps, Asian floors, FX options, and credit default swaps.

  • Familiarity with derivative trading and collateral agreements such as Clearing Agreements and ISDAs / CSAs.
  • Advanced knowledge of derivative valuation models including Black-Scholes and Hull-White.
  • CFA and / or FRM / PRM designations preferred.
  • Technical Skills :

  • An understanding of market data setup for valuing derivatives including swap curves, FX forward points, volatility surfaces, forward rates, survival curves, etc.
  • Programming experience in VBA, SQL, EXCEL, or MATLAB is beneficial.
  • Experience with Findur system an asset .
  • Personal Effectiveness :

  • Excellent analytical and problem-solving skills and attention to detail.
  • Solid organizational skills and high degree of professionalism combined with the ability to readily adapt to changing environments and deal with competing priorities.
  • Excellent communication and documentation skills. A team player with demonstrated abilities for building and maintaining good working relationships both internally and externally, and up, down and across a large organization.
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