Quant Valuations Analyst AVP/VP
The team is primarily responsible for:
- Providing technical assistance and support on current market Valuation Issues e.g. CVA, secured and unsecured derivative discounting, valuation risk/uncertainty and Fair Value Hierarchy classifications.
- The team is involved in Model Control, i.e. the review of valuation models from a Finance perspective. As such the team develops calculations for model deficiency and/or model uncertainty fair value adjustments in response to model review findings.
- Governance of reserving and IPV methodologies
- Support for Global IPV teams, developing new or complex IPV and Fair Value Adjustment Methodologies where necessary; ownership and maintenance of the Valuation Policy Framework.
The team acts as a global centre of excellence on valuation issues across the full suite of products traded by the bank. 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 control process, as well as the assessment of valuation uncertainty in a wider sense.
The role will involve frequent liaison with Front Office Trading, IPV teams, Finance Directors as well as consultation with Market Risk Management and Risk Analytics.
You will have:
- Excellent academic record including a degree in a numerate subject. A relevant MSc and / or PhD would be useful.
- Certificate in Quantitative Finance or other financial mathematics qualification would be a plus.
- 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.
- Accountancy qualifications are desirable but not essential.
- Strong analytical skills and a proven track record at problem solving.
- Working knowledge of 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.
- 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 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.
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