Structured Rates professionals required for Valuation Control opportunity at UBS
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 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. In addition, the Valuation Control team is fully extending capabilities around valuation uncertainty analysis during 2013, which will become part of the responsibilities of the team as the year progresses.
All Regions globally for the above businesses are supported from within the London based team. Since early 2012 some of the more “vanilla” processes have been produced off-shore. Responsibility of the London team has therefore switched 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 and valuation uncertainty 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 2013 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 UBS 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.
– An important measure of success will be the quality of the relationship the Valuation Controller will be able to build with the Business (i.e. traders business heads), Valuation Methodologies team, Market Risk Control, Quantitative Risk Control, and regional BUCs.
• The Valuation Controller will have to display a solid ability to work closely on projects with his/her counterparts.
• Ability to work within several teams simultaneously and balance conflicting priorities.
• Must be self-motivated and adaptable to continuous change
– Drive valuation-related initiatives. Must be proactive, and seek to drive the processes forward, to continually add value. This will involve working independently on self-contained tasks which will require the use of problem solving skills and the leveraging of resources.
– Identification of valuation parameters or instrument types that require particular attention with critical analysis of the risks involved.
– Building a variety of analytical tools to assist PC portfolio valuation.
– Enhance price-testing, reporting and valuation risk control processes.
• Add value to existing control processes within the department.
• Develop specific product / risk based solutions
– Maintain the bank’s standards and professional approach, especially when under pressure
– Produce deliverables which comply with the bank’s standards
– Develop solutions within current Business and IT framework
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.
• Computing skills including Excel.
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