Financial Economist for the Option Valuation Consulting line of theEquity Methods Consulting Practice.
The Option Valuation Consulting area of our practice specializes in valuing a variety of share-based compensation instruments, ranging from "plain vanilla" stock options to awards containing market conditions. This area of our practice serves over 300 clients, including many Fortune 50 firms, and is frequently engaged in shaping industry best practices with audit firms and regulators. As a key member of our most mature practice area, you will have an immediate opportunity to begin adding value and supporting further growth by assisting in assumption derivation, custom Monte Carlo valuation development projects, custom algorithm development, and other ad hoc research initiatives. Assumption derivation projects focus on computing key valuation inputs for purposes of valuing plain vanilla stock options in either the Black-Scholes formula or a variety of lattice models. Monte Carlo valuation projects involve the custom development of a Monte Carlo simulation model to value an award containing a market condition. If you have a strong grounding in quantitative finance, econometrics, and programming (preferably in SAS), enjoy problem-solving, and have a collaborative client-focused mindset, then we would like to meet you and give you the opportunity to learn more about our practice. Our specialty is the accounting, finance, and economics surrounding equity compensation. While not all our professionals came to us with a background in equity compensation or consulting, all share our cultural values: solving complex problems thoughtfully and working with project stakeholders to create value for clients.
About the Equity Methods Consulting Practice
A wholly owned subsidiary of Merrill Lynch, Equity Methods serves a diverse clientele primarily consisting of Fortune 1000 companies. We are strategically partnered with some of the largest financial institutions and work closely with Big 4 and other large public accounting firms. Our academic affiliates have provided key guidance to the FASB and SEC as they formulate policy regarding FAS 123R and equity accounting. We provide valuation and accounting solutions in the equity compensation space with a particular focus on the various compliance challenges created by Statement of Financial Accounting Standard 123 Revised (SFAS 123R), SFAS 128, and SFAS 109. Our practice is constantly performing research to expand our offerings into new areas valued by our client base. Equity Methods' consulting practice and academic affiliate team include some of the nation's foremost experts in valuation and accounting. Members of the practice are given stimulating engagements that involve analysis and presentation to senior-level finance and accounting executives at client firms and managers/partners from Big 4 audit firms. Including both junior associates and seasoned individuals with decades of research and practitioner experience, the team is a diverse group of bright, thoughtful, and collaborative professionals. The Financial Economist will support in some or all of the following roles:
Lead in valuation consulting engagements, which require competencies in financial modeling (using SAS), critical data analysis, and quantitative finance. Specifically, these projects involve mastering the firm's option-pricing techniques, and then leveraging this experience to lead client engagements aimed at recommending valuation methodologies for employee stock option valuation. Most projects focus on the estimation of the expected life, forfeiture rate, and volatility assumptions.
Lead in advanced valuations of complex derivative securities. These projects entail the development of a custom Monte Carlo simulation model for each derivative security requiring valuation. Our practice is industry-leading through our focus on rigorous econometric modeling and programming to develop accurate and auditable valuations that can be consistently and successfully defended in external audit.
Support in practice development initiatives. Consultants will contribute to the improvement of existing processes, prototyping of new processes, and other development initiatives aimed at improving and expanding the scope of Equity Methods' service offerings.
Support in algorithm development projects, which pertain to both valuation and accounting processes. In particular, accounting process involve the application of financial accounting logic to large quantities of data. These processes require expert programming skills to ensure data are consistently and correctly treated per the prevailing accounting guidance.
Support in client relationship management and external audit. Consultants are assigned to client engagements, which entail interaction with senior executives at client firms and senior members of the external audit teams responsible for auditing the work produced by Equity Methods. As such, consultants play a central role in developing Equity Methods' brand capital in the industry by performing sophisticated analysis and clearly communicating results and methodologies in writing and orally.
Qualifications
Required proficiencies and background should include:
1) Masters or PhD in finance, statistics, econometrics or economics.
2) Regression design (OLS, probit, logit, tobit, other models).
3) Interpretation of positive vs. forward-Looking (Forecasting) regression statistics (F stat, R 2 , t).
4) Expert knowledge of classical regression techniques and critical assumptions on which models rely.
5) Expert knowledge of linear algebra and, preferably, its applications in financial economics.
a. Principal components analysis / Spectral decomposition
b. Evaluation of correlation matrices for use in simulation models
c. Eigen values / vectors
6) Resourcefulness in solving new problems and independently tracking down answers to complex or abstract problems. Ability to "stay with a problem" until it is resolved.
7) Expert Knowledge of SAS Interactive Matrix Language (IML) and similar (Gauss, Matlab).
8) Expert Knowledge of Macro and Base SAS, along with advanced SQL statements, flat data file processing, and import / export methods.
9) Expert in data manipulation within SAS.
10) Demonstrated spatial thinking.
Preferred but not required proficiencies and background should include:
1) Knowledge of foundational economic principles underlying asset pricing (law of 1 price, no arbitrage, etc).
2) Intermediate knowledge of derivative pricing models and underlying assumptions (risk neutral vs. objective valuation, Black-Scholes, binomial option pricing, numerical valuation techniques, etc).
3) Advanced techniques for estimation of volatilities and correlations (i.e. ARCH, GARCH).
4) Bootstrapping zero rates from treasury constant maturities.
5) Expert knowledge of Monte Carlo simulation of stock returns and foundational assumptions / derivatives pricing using Monte Carlo method.
6) Expert knowledge and experience in working with financial databases and other large datasets (various prices, CUSIPs, merging datasets).
7) Solid knowledge of the market micro-structure, market efficiency, etc.
8) Experience with R or S-language variants is a plus but not required.
9) Process automation and improvement.
10) Design of functions and embedding C code processes within MS Excel.
Email this Job
