Rates IPV Controller recruitment
UBS is a leading global financial services firm. Our Corporate Centre acts as a link between our three business groups, coordinating their activities and shaping how UBS does business all over the world. Its purpose is to create an environment in which each business can act entrepreneurially while adhering to the strategic aims of the group.
The Macro Valuations team works on technically challenging valuations issues facing the Fixed Income Valuations group. The team’s focus is on the validation of the final reported valuations of rates and fx products (structured and flow) through a combination of independent price verification (IPV) and reserving. The results of this validation are reported through the organisation to Trading, Finance and Risk Management functions.
The area is seeing considerable investment in terms of development of IT architecture around the valuation and valuation control process. Two programmes have already been underway (one around parameter testing and one around product exit testing) since 2011 and benefits in terms of functionality are being realised. Both programmes will run throughout 2012 and this role presents an excellent opportunity to be involved in the development of control infrastructure platform / toolkit at a leading Investment Bank.
Evaluation around complex and option products increasingly follows the principles of “Exit Price testing” (output pricing) and involves detailed re-calibration of option model parameters to reference prices and subsequent quantification of this calibration change to the UBS portfolio. Exit testing is undertaken at product level and forms a significant portion of the month-end IPV work undertaken and coverage is expected to grow through 2012 as more products are incorporated. Since late 2010 the Valuation Control team has worked closely with a separate Valuation Methodologies team who are responsible for product testing / reserve methodology determination, prototyping, review and documentation. This relationship has tended to increase the technical content of the Valuation Control Exit testing processes and analysis.
The heavy dependence on Product Exit testing makes this role more technical in nature than many equivalent roles in other organisations – the individual will develop close and intensive familiarity with UBS models (and model dynamics and potential limitations) through analysing IPV and reserving processes. The role represents an excellent opportunity for someone looking to grow their technical, valuation and models experience in the Macro space.
Role
The candidate will be responsible for particular products / parameters within the Rates portfolio. They will prepare IPV results (based either on input price / parameter or model output), review these in detail with the responsible front office and report these variances for aggregation. In addition responsibilities are likely to include:
• Preparation of detailed valuation report to include analysis, issues etc for reporting and discussion with Market Risk, Front Office, Model Validation, Line Product Control etc
• Generation and assessment of certain reserves required in the overall Fair Value process (Bid-Offer, model reserves, Day1 Reserves)
• Testing of Exotics model calibration effectiveness – evaluation and reporting of calibration differences across the existing portfolio.
• Analysis, discussion and agreement of variances and methodology with Valuation Methodologies team, desk Risk Management.
• Reporting of IPV results and Reserves to both the desk and to central Finance IPV reporting team.
Continuous improvement of methodology and results generation approach and process platform.
We can offer you an exciting, fast-paced working environment, a culture of mutual respect and teamwork and the opportunity to play a vital role in our growth. If you would like to work for a global organization where individual contribution counts and where your ambitions and abilities can make a difference, please apply for this position. It starts with you.
UBS is an equal opportunity employer. We respect and seek to empower each individual and the diverse cultures, perspectives, skills and experiences within our workforce.