Equity Derivatives Corporate Business Controller
Product Control are the Financial Guardians of the Bank's sales and trading activities. We fulfill this role through: Ensuring complete, accurate and timely PL, Balance Sheets and analysis. The independent validation of the value of our trading portfolios. Working with the businesses and the new business product groups to evaluate integrate new products and businesses into our financial environment in a controlled manner. The provision of reliable and meaningful financial information to the business managers, external stakeholders and other relevant internal constituents.
US EQD Team has an internal opening for a Business Controller in the Corporate Derivatives NY Team:
The team supports a product structure including: OTC Collars, VPFs, Asian Options, XTOs, XTFs, Financing Arrangements / Loans, Dividend Swaps across global indecies, single stocks, index and ETF asset classes.
The RMS platform includes current migration from OTC LOTS to Giraffe, which is the firm's strategic risk management system.
Daily tasks include staying abreast of relevant market information influencing the risk profiles (delta, gamma, vega, rho...), understanding and writing PL Commentary, reviewing attribution output (relevant to future risk based PL, currently to be piloted in EQD Giraffe), raising issues, liasing with LC in Poland and interacting with clients: Trading, SRM, GMAG, VRG, FOIT, CRM.
Monthly pricetesting is a key focus area, administered within BD4 (conclusions and PL reached by BD4 lock) across following risk parameters: implied volatility, dividends, borrow costs and related Offer Adjustments etc...
Additional focus area mid month and month-end, includes the review of exit costs, centered around : delta, forward, vega, volgamma and correlation. Interactions with global Valuation Control team and desk heads required to corroborate, review and post these and other valuation adjustments (not limited to OPA, but include: model parameter adjustments, CAV / OIS...);
Quarterly Fair Value assessment – balance sheet, PL, off balance sheet, US GAAP and IFRS
Other ad hoc BC tasks: systemic testing of enhancements to IPV process, participation in PVWG meetings, attendance in PTA and NPAC meetings as the need arises
- Candidate should have experience in both PL and IPV process, eager to learn, team player, good communication skills, strong advanced excel and basic VB skills, interest in the details of the product types offered and their valuations, risk drivers and impact on PL and scenario testing of valuations via GMAG Tina models.
- Candidate should have a very strong working knowledge of CS's IPV Process and Valuation Adjustments – as this is a business control role with a strong emphasis on equity derivative valuations.
- Candidate should possess a Masters in related field: Financial Engineering, Mathematics, Statistics, MBA or CFA/CPA/CA
- Advanced Excel skills
- 3-5 years relevant experience
- Advanced Excel skills
- 3-5 years relevant experience
- Strong derivatives knowledge
- Emerging Markets knowledge preferred
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