Senior Derivatives Audit Valuation Specialist

About the role

This senior position leads valuation engagements for a wide range of derivative and structured financial products. The role involves developing complex pricing models, ensuring compliance with IFRS standards, and communicating results to senior stakeholders.

Key responsibilities

• Lead valuation projects for interest rate, FX, equity, credit and commodity derivatives such as swaps, forwards and convertibles.
• Value fixed‑income securities, Sukuk, corporate loans and equity instruments.
• Assess and document hedge effectiveness for fair‑value and cash‑flow hedges.
• Review complex instruments including options, warrants, ESOPs, convertible debt, contingent consideration and SAFE notes.
• Develop and maintain pricing models using Monte Carlo simulation, Black‑Derman‑Toy, lattice and finite‑difference techniques.
• Ensure compliance with IFRS 9 and IFRS 13 throughout valuation processes.
• Utilise advanced tools (Python, R, @Risk, VBA) and data sources (Bloomberg, Refinitiv, S&P Capital IQ).
• Communicate findings and recommendations to senior management and clients.

Required profile

• Post‑graduate degree in Finance, Economics, Accounting (CA) or Business.
• Minimum 3 years of experience in financial valuation, derivatives or audit valuation.
• Strong understanding of derivatives, hedge accounting and structured products.
• Ability to mentor junior staff and work collaboratively across functions.

Required skills

• Python programming.
• R programming.
• @Risk and VBA.
• Bloomberg, Refinitiv and S&P Capital IQ data extraction.
• Monte Carlo simulation, Black‑Derman‑Toy, lattice and finite‑difference modeling.
• DCF and option‑pricing techniques.
• Knowledge of IFRS 9 and IFRS 13.