Assistant Vice President - Senior Finance Analyst - Valuations
About Bank of America Merrill Lynch:
Our purpose as a firm is to make financial lives better, through the power of every connection. Across the world, we partner with leading corporate and institutional investors through our offices in more than 40 countries. In the U.S alone, we serve almost all Fortune 500 companies and approximately 59 million consumers and small-business customers. We provide a full suite of financial products and services, from banking and investments to asset and risk management. We cover a broad range of asset classes, making us a global leader in corporate and investment banking, sales and trading.
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Our Asia Pacific team is spread across 23 offices in 12 markets. We are focused on connecting Asia to the world and the world to Asia, using our global expertise to ensure success is shared between us, our clients and our communities. Our regional footprint covers 12 currencies, more than a dozen languages and five time zones, placing us firmly among the region's leading financial services companies.
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The APAC Global Valuation Group (GVG) team at Bank of America Merrill Lynch provides valuation and independent price verification (IPV) support to the APAC Global Markets Businesses. We are a cross asset class group however are looking for someone specifically with in-depth knowledge of credit derivatives pricing models and their relative characteristics, and their application to complex structured products covering Bonds, Credit Default Swaps, Quanto Credit Default Swaps, Fixed or Digital Credit Default Swaps, credit default swap index, Nth-to-Default Basket Swap, Correlation Products, Structured Financing trades, Structured Credit Linked Notes, Leverage Credit Linked Notes, etc.
- 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 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
- 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.
- Demonstrate ability to interact with personnel at all levels of a Top tier Financial Organization
- Desired University degree in Finance, Engineering, Mathematics or related degree. Post-graduate university degree (MFE or PhD preferred)
- Computer Programming Skills - Python
Bank of America Merrill Lynch is an equal opportunities employer.
Posting Date: 17/07/2017
Hong Kong, , CHEUNG KONG CENTER, 2 QUEEN'S RD,
- Hong Kong
Full / Part-time: Full time
Hours Per Week: 40