AVP Valuations and Provisioning, Rates and FX, Top Tier Bank

Our client, a Top Tier Bank are looking to hire an experienced individual at AVP level to work on the valuation and provisioning approaches on Rates, FX and related hybrid products.The team is responsible for ensuring independent verification as to the accuracy of the mark to market values for all rates and currency products globally.

The group provides a centre of expertise for valuation methodologies, and provisioning approaches, and appropriate reporting of these, to communicate and inform senior management around valuation issues.

The role will principally involve using existing proprietary pricing tools to conduct independent analysis on the complex product valuations with respect to the wide range of asset classes (rates including inflation, fx, commodities) focussing on the validation of exogenous model inputs, calibration choice, and appropriate use of the market data. The key aims of the work are to ensure that the most appropriate valuation models are used under the current market conditions, and the specification of valuation adjustment and reserve methodologies.

The role will involve regular discussion with Trading, Model Validation, Market Risk and Quant departments, both around existing portfolios, and additionally around new products and models in the pipeline, for which this team play a key role in the governance and sign-off.

The successful candidate will have:

· Strong academic credentials, in a highly quantitative subject like Maths or Physics or equivalent.
· Previous derivatives experience, most importantly in relation to FX and Rates obtained in a Bank in the areas of Price Verification, Quantitative Research, Market Risk Management or Trading
· Excellent communication skills with the ability to articulate these concepts both verbally and via documentation, to colleagues, accountants, traders, quants and risk managers, and be able to defend or challenge their validity.
· A good knowledge of Excel and VBA

December 17, 2013 • Tags:  • Posted in: Financial

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