AVP, Credit OTC - Valuations & Modeling (relocation available)
2 days left
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
- 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.