IPV Methodology – Cross-Asset – VP recruitment
This team is a specialist function within 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. The team also inputs into the review of valuation models from a Finance perspective, including the quantification of model reserves and of model uncertainty as appropriate.
They are looking for someone who has strong academics to enable them to look at the problems related to derivative pricing across different asset classes.
Responsibilities include:
- Governance of reserving and IPV methodologies.
- The development of IPV and Fair Value Adjustment Methodologies
- Ensuring global compliance to policy through a global quality assurance programme
- The group acts as a global centre of excellence on valuation issues across the full suite of products traded by the Bank in the various locations.
- To this end, the group is responsible for the model approval process and the assessment of valuation uncertainty.
Skills include:
- 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.
- 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.
- 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.
If you would like to apply for this role or find out more, please apply online or contact Anna Purves at Robert Walters on 0207 509 8745 or anna.purves@robertwalters.com quoting the Job Reference 1566750/APC