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Job Description

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.