My client is one of the world's leading US bulge bracket investment banks. The APAC team provides valuation and independent price verification (IPV) support to the APAC global markets businesses
Duties & responsibilities
- Define the methodology for IPV and associated liquidity/model/deal specific Valuation Adjustments (VA)
- 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 categorisation 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
- 5 years of financial modeling experience or equivalent
- 5+ years of derivatives valuation and independent price verification experience
- Working knowledge of MS Office applications including VBA, MarkIT, Reuters, Bloomberg.
