AVP, Valuations

Conduct IPV of designated complex trading books with heavy concentration on Corporate Credit, Muni Credit and Agency Credit products. Ensure IPV issues are identified in a timely fashion, communicated to management and corrective actions have been taken to minimize financial exposure to the firm.  The candidate will cover valuations and reserving aspects of Corporate Bonds, Leveraged Loans, Emerging Markets Bonds, Municipal Bonds, Government and Agency Bonds, as well as Credit Derivatives (Single Name CDS, Credit Index) products. 

• Help develop dynamic financial tolerance framework to manage valuation subjectivities consistent with risk profile of the business.

• Calculate monthly valuation adjustments.

• Provide weekly reports on significant price changes trends and their PL impact on related trading books. Report significant valuation issues weekly. Maintain documentation audit trail history.

• Daily review of PL decomp. In collaboration with Market Risk Group and provide alerts on material market information not incorporated in EOD values. Liaise with IT, GRM and Product Control to design system requirements for the above. Design ad hoc PL decomp. for high risk portfolios, pending automation.

• Daily monitoring of Day 1 trade exit PL, Cash Flow and unrealized gains profile.

• Ongoing review of related valuations analysis conducted in the Market Risk Group and Product Control to ensure accuracy and consistency across all trading books.

• Develop new and enhance existing Valuation policies and Documentation of:

   a) Valuation Methodologies Practices

   b) Sources of Market Data

   c) Fair Value processes Stress Testing techniques of existing portfolios.

• Model Valuation Methodology review:

   a) Perform annually review enhance documentation framework alternative valuation methods

   b) Liaise with Model Vetting group to assess Valuation methods or model limitations

   c) Design and monitor triggers to capture model deterioration

   d) Quantify Valuation uncertainty by establishing qualitative quantitative methods

•  Ongoing process refinement and implementation of process efficiencies including testing and implementation of various valuation systems and models.

• The candidate will work on the development of valuation methodologies and testing techniques which are in compliance with US GAAP for all instruments under management.

• Responsible for the supervision of 1-2 staff members.

 

JOB SPECIFICATIONS

• BS/BA in Finance, Mathematics, Financial Engineering, Engineering, Business Economics or Accounting

• Minimum 5-7 years experience in valuation of Corporate Credit, Muni Credit and Agency products gained from an external price testing role or related roles that dealt with product valuations.  The candidate must have in depth pricing and valuation knowledge in some or all of the following: Corporate Bonds, Leveraged Loans, Emerging Markets Bonds, Municipal Bonds, Government and Agency Bonds, as well as Credit Derivatives (Single Name CDS, Credit Index) products. 

• Strong Analytical / Quantitative skills.

• Solid practical knowledge of financial products, pricing and portfolio valuation.

• Quick learner and possess the ability to work effectively under pressure in a rapidly changing environment in order to meet deadlines.

• Ability to multi-task.

• Candidate should be well organized and detailed oriented.

• Strong written and oral communication skills as well interpersonal skills.

• Experience summarizing results and producing management reports.

• Ability to work effectively as a member of a team or independently.

•  Proven initiatives in risk systems development

•  Strong technical skills including MS Access, VBA, Bloomberg, etc.

April 2, 2013 • Tags: , • Posted in: Financial

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