Key responsibilities
- Define the methodology for IPV and associated Liquidity/Model/Deal Specific Valuation Adjustments (VA) for any given product or risk (including regular methodology reviews and advice on re-calibrations) – knowledge of XVA’s are a plus.
- Create the standard process via system or spreadsheet on how to execute the methodology in line with compliance requirements.
- Perform reviews and approval of all market data constructions, functions and models used in production to value transactions.
- Review and Challenge the IPV processes conducted by Business Finance and Control (BFC).
- Review of material new deals and changes to models and market data configurations.
- Assist with implementation of strategic projects, such as key risk management and system enhancements.
- Working closely with Traders, Market Risk Management, Model Risk Management, FO Quants, BFC, senior managers on new product, model development, model sign-off etc.
- Define Fair Value Hierarchy categorization and justification and create the framework of a given product, risk, or portfolio as appropriate.
- Define Liquidity (covered/non-covered) and create the framework of a given product, risk, or portfolio as appropriate.
Key requirements
- 8+ years of Financial Modeling experience or equivalent.
- 8+ years of derivatives valuation and independent price verification experience.
- Working knowledge of MS Office applications including VBA, MarkIT, Reuters, Bloomberg.
- Demonstrate ability to interact with personnel at all levels of a Top tier Financial Organisation.
- Desired University degree in Finance, Engineering, Mathematics or related degree. Post-graduate university degree (MFE or PhD preferred).
- Computer Programming Skills - Python.
- FRM/CPA/CFA/ACA.
If you are interested in this role please apply below or contact me for more information.