The Portfolio Valuation Specialist will sit within the Macro team responsible for portfolio pricing and valuations across Rates, Credit, Mortgages, and FX for Millennium’s global fixed income business. The team operates in a dynamic, fast-paced environment with direct exposure to portfolio managers, Trading Services, Risk, and Technology, and offers strong growth opportunities.
Principal Responsibilities
Pricing & Valuations
Responsible for real-time and end-of-day pricing across a broad range of fixed income products (rates, credit, FX; cash and derivatives).
Challenge and refine prices using market data, comparable instruments, and model-based approaches.
Partner with Risk and Technology to enhance valuation methodologies, analytics, and data quality.
P&L Explanation
Produce clear Trade Date and T+1 P&L explanations by position, strategy, and portfolio, highlighting key drivers and unusual moves.
Support senior management and portfolio managers with ad‑hoc deep dives into performance and risk.
Front-Office Interface & Valuation Ownership
Act as a primary interface for portfolio managers for all pricing, position, valuation, and related risk issues.
Coordinate resolution of breaks and issues across Risk, Trading Services, Technology, and external vendors.
Process Enhancement & Projects
Identify control gaps and process pain points; design and implement improvements to reduce manual work and operational risk.
Contribute to strategic projects around intraday pricing, EOD sign‑off, P&L attribution, and reporting infrastructure.
Controls & Governance
Help maintain strong valuation controls, documentation, and audit trail in line with firm valuation policies.
Contribute to building systematic checks and dashboards to monitor price and curve moves, data quality, and methodology changes.
Qualifications / Skills Required
Education & Experience
Bachelor’s degree in Finance, Economics, Mathematics, Engineering, Computer Science or related quantitative field, with strong mathematics skills (e.g., probability, statistics, linear algebra) and comfort with quantitative problem solving.
3–7 years of experience in a relevant role such as valuations, pricing, risk, model validation, or quantitative analytics within fixed income and credit markets.
Product & Technical Knowledge
Strong understanding of fixed income, credit, and FX products and risks, including swaps, options, futures, corporate bonds, credit indices, and structured credit.
Experience working with large time-series datasets and market data, including building diagnostics for curve moves and pricing changes.
Familiarity with pricing models and curve construction for rates/credit/FX, plus comfort with numerical methods and risk sensitivities (DV01/CR01, Greeks).
Solid Python skills (or similar scripting language) for data analysis and process automation; SQL a plus.
Analytical & Execution Skills
Highly detail-oriented, with strong analytical and troubleshooting skills and a high sense of urgency in resolving issues.
Able to prioritize effectively in a high-pressure, time‑sensitive environment (EOD pricing and P&L deadlines).
Demonstrated ability to take ownership of problems from identification through to resolution.
Soft Skills
Excellent communication skills, with the ability to interact confidently with portfolio managers, traders, Risk, and Technology across regions.
Proven team player, self‑starter, comfortable working with global colleagues and coordinating across time zones.
Additional Information
Role is US-based (New York) with core coverage of US trading hours, plus flexibility around global coordination as needed.
Candidates must be comfortable working in a high‑performance, front‑office facing environment with direct impact on P&L.
The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.