AVP/VP Rates Valuations recruitment

The successful candidates main responsibilities will include (but won’t be limited to) the following:

• Global consistency and governance of reserving and Independent Price Verification (IPV) methodologies.

• The development of IPV and Fair Value Adjustment Methodologies including the Valuation Policy Framework.

• Providing technical assistance and support on current market Valuation Issues e.g. Credit Valuation Adjustment (CVA), secured and unsecured derivative discounting, and Fair Value Hierarchy classifications.

• Methodology also inputs 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 Control the global consistency and governance of reserving and Independent Price Verification (IPV) methodologies.

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. Degree educated in a numerate subject, with an excellent academic record. A relevant MSc would be useful

• Qualified accountant - desirable but not essential

• Degree educated in a numerate subject, with an excellent academic record. A relevant MSc and / or PhD would be useful

• Self-motivated, proactive, enthusiastic and a team player.

• Enquiring and analytical, yet practical with a mindset in addressing and resolving issues.

• Able to display good organisational and communication skills, as is an ability to see the big picture and take pragmatic decisions.