Fixed Income VR&C
Fixed Income Valuation Risk Control (VRC) is a global function, whose main missions are:
- In conjunction with R-IM, to independently verify and report on the accuracy of market parameters used in the preparation of FI PL and Collateral Valuation (IPV – Independent Price Verification).
- To review the PL based on common standards and the responsibilities and authorities defined in the trader mandates.
- In support of trading management, to monitor "local" risk limits and ensure adherence to Trader Mandates.
- To administer the processes monitoring abnormal trading patterns.
- In conjunction with R-IM, to ensure that the use of models, parameter sets and calibration parameters is in line with approved set ups.
- To perform a second level of control over the production of the PL, in particular covering the consistency of methodology used, adjustments posted, significant PL movements and intra-group deals.
Valuation controls
1. Establish and carry out the checks of parameters where the regional Valuation Risk Control team has verification responsibility. This includes implementing an appropriate process where responsibility is being transferred from R-IM or any other area, reviewing exceptions with the contributor, ensuring that corrections are made when appropriate and advising other groups affected by changes.
2. Contribute to the evolution of the market parameter verification processes. This includes identification of the parameters in use and the assessment of alternative checking methods and sources. Analyze and question current processes and contribute to their improvement.
3. Contribute to the maintenance of the matrix (market data cartography) that records the details for all parameters used by Fixed Income, ensuring that all parameters used in PnL production are controlled and accounted for and changes are properly authorized.
4. Organize and store all month end reviews and relevant materials, ensuring that records are complete. Carry out periodic reviews to ensure that documentation is adequate for internal and external reviews.
Risk Controls
5. Perform locally / regionally run control processes to ensure Trading Activity across Fixed Income is monitored and consistent with defined trading mandates and risk limits.
6. Ensure Trading Mandates are vetted and signed–off by Trading management, changes are documented and exhaustively maintained.
7. Ensure all breaches are thoroughly investigated, understood, documented and promptly escalated to Management.
PL process controls (TBD)
8. Perform locally / regionally run control processes and reviews. Ensure that exceptions are reviewed and resolved with the appropriate areas and that adequate documentation is produced and stored.
9. Contribute to the definition of PL preparation and substantiation standards. Advise PL managers and analysts on the implications of existing standards. Collect, analyze and follow up on suggestions to revise and extend the existing standards.
10. Participate in projects sponsored by Valuation Risk Control to enhance the PL control environment. Train PL analysts in the use of new and revised PL preparation control tools.
11. Prepare and substantiate the PL for books that Valuation Risk Control has responsibility for, resolving any queries with the appropriate areas.
General
12. Build and maintain relationships with Front Office, Middle Office, Finance and R-IM based on trust, respect and professionalism.
13. Contribute to initiatives within the FI VRC function, both within the region and in other locations.
- Academic background in Finance, Business, Economics and / or Mathematics Knowledge of Fixed Income Instruments:
- All varieties of Fixed income Swaps / Derivatives (Rates, Credit, FX, etc.) Bonds, Options, FX
- Prior PL or Product Control experience
- Knowledge of Greeks and PL attribution
- Ability to think critically, identify gaps in current controls and suggest improvements to existing processes
- Ability to think in a control mindset, ensure all work is recorded, documented and readily available for audit
- Must be organized, accurate and attentive to detail
- Must work well both within a team and independently
- Heavy Excel use (must be able to work with Excel Finance functions, Pivots, Basic VBA)
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