AVP/VP Rates Valuations
You will be involved in methodology related issues for a wide range of Rates products including the full range of Rates products including Exotic Rates and long-dated FX/Rate Hybrid products. The role will requires frequent liaison with Front Office Rates/FX Traders, the Rates/FX IPV team, as well as consultation with Market Risk, Model Risk and Accounting Policy where appropriate.
The successful candidates main responsibilities will include (but won’t be limited to) the following:
• Control the global consistency and governance of reserving and Independent Price Verification (IPV) methodologies.
• Develop the IPV and Fair Value Adjustment Methodologies including the Valuation Policy Framework.
• Inputting into the review of valuation models from a Finance perspective, including the quantification of model reserves and of model uncertainty as appropriate.
• Ensuring global compliance to policy through a global quality assurance programme
The desired candidate will be/have:
• Relevant experience in an Investment Bank, working in a relevant control function (Product Control, IPV, Risk Control). Front Office experience, although less directly relevant, will also be considered.
• Strong analytical skills and a proven track record at problem solving.
• Working knowledge or derivatives pricing models, in particular Rates models.
• Strong product knowledge of Rates products. This must include an understanding of both theoretical model related valuation issues as well as practical issues faced in implementation including current market practice.
• Experience of the IPV of Rates products, including the price-testing and reserving of unobservable or illiquid valuation parameters, i.e. the need for a pragmatic approach that can bridge the gap between theory and practice, producing a quantification of the valuation uncertainty.
• Strong data analysis skills acquired, for example, through research in an experimental science.
• Technical skills (e.g. use of Excel and Analytic libraries to prototype new processes) would be very useful.
• Experience of managing small teams and projects through to completion.
• Excellent written and verbal communication skills – an ability to deal with a number of different areas within the Bank to achieve prompt resolution of issues
• Certificate in Quantitative Finance or other financial mathematics qualification would be a plus.