Rates Valuation Control
Rates Valuation Control
London
Up to 70k
Leading Investment Bank
The Rates business comprises trading and market making in Linear, Non-Linear and Hybrids interest rates, long dated FX and rates hybrids products across EMEA, US and APAC.
The role is within the Valuation Control – or “IPV” function that supports this business from within the Investment Bank Business Control (“IBBC”) function. The role involves the validation of the final reported valuations of the products within the above areas through a combination of independent price verification, reserving and model calibration analysis. The results of this validation are reported through the organisation to Trading, Finance and Risk Management functions.
IPV processes within the team include traditional price and input parameter comparison to external market levels and quantification, reporting and adjustment of variances (rates and inflation curves, basis and funding spreads, volatilities, bond prices).
Evaluation around complex and option products increasingly follows the principles of “Exit Price testing” (output pricing) and involves detailed re-calibration of option models parameters to reference prices and subsequent quantification of this calibration change to the 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.
All Regions globally for the above businesses are supported from within the London based team. In early 2012 some of the more “vanilla” processes are to be off-shored. Responsibility of the London team will therefore switch to an analysis / quality assurance function rather than pure preparation.This individual 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.
The area is seeing considerable investment in terms of development of IT architecture around the valuation and valuation control process. Two programmes are underway (one around parameter testing and one around product exit testing) having been started in 2011 and benefits in terms of functionality are already being realised. Both programmes will run throughout 2012 and present an excellent opportunity to be involved in the development of control infrastructure platform / toolkit at a leading Investment Bank.
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 models (and model dynamics and potential limitations) through performance of IPV and reserving analysis. The role represents an excellent opportunity for someone looking to grow their technical, valuation and models experience in Rates space.
The ideal candidate will combine the following skill sets:
– Strong mathematical/analytical ability– Understanding of Risk and rates / FX / Hybrids products.
– Familiarity/Market experience with rates and fx derivative instrument pricing methods and sources.
– Computing skills including Excel. VBA, Microsoft Access skills would be advantageous.
Business Technical Expertise
•Computing skills including Excel.
•VBA, Microsoft Access experience would be advantageous.
Education1st or 2.1 from a top tier university
Professional EducationACA/ CIMA an advantage
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