Contract Models + Methodology recruitment

Business Description

Methodology is a specialist function within the valuations group in Finance. It is primarily responsible for:

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

• Governance of reserving and IPV methodologies.

• 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.

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

• Ensuring global compliance to policy through a global quality assurance programme.

The Methodology group comprises approximately 10 people globally and is split into asset class specific teams. It acts as a global center of excellence on valuation issues across the full suite of products traded by the Corporate Investment Bank (CIB) in the various locations. The main focus of the team is on methodology and its application globally across products. To this end, the group is responsible for the governance of reserving and independent price verification, as well as inputting into the model approval process and the assessment of valuation uncertainty.

Position Description

The vacancy is within the Methodology team. The candidate will be involved in methodology related issues for a wide range of products.

The role will involve frequent liaison with Front Office Trading, the IPV teams, Finance Directors as well as consultation with Market Risk Management (MRM), Model Risk Analytics (MRA) and the Accounting Policy Advisory Group (APAG), as appropriate.

Job Requirements

Essential skills

• 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 product knowledge in at least one major asset class. This must include an understanding of both theoretical model related valuation issues as well as practical issues faced in implementation including current market practice.

• Strong analytical skills and a proven track record at problem solving.

• Working knowledge of derivatives pricing models.

• 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 useful.

• Experience of the IPV, 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. 

• 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.

Education / Qualifications Requirements:

• Degree in a numerate subject or equivalent.

• Relevant MSc and / or PhD or equivalent