AVP, Credit OTC - Valuations & Modeling (relocation available)

2 days left

Recruiter
Eames Consulting Hong Kong
Location
Hong Kong
Salary
$HK 55,000 - 70,000 per month + bonus
Posted
16 Aug 2017
Closes
22 Aug 2017
Contract Type
Permanent
Hours
Full-time


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 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

  • 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.