Valuations Controller AVP/VP
Position Description:
The successful candidate will be reporting into the head of the European interest rates business with responsibility for the Swaps, Exotic interest rate options, inflation, structured notes and property derivatives businesses.
Responsibilities:
The team is responsible for all valuation issues in respect of their product areas, in particular, external price testing, valuation adjustment (reserving) methodologies, and reviews of both the valuation and modelling of significant new complex trades. The candidate will be specifically responsible for the following:
• Production and reporting of the monthly mark review to ensure positions are marked correctly in the firm’s books and records. As many of the positions are illiquid, this requires working closely with the Model Risk quantitative team within Valuations to develop innovative valuation techniques.
• Gain a full understanding of the products traded by the desk and their marking/valuation adjustment methodologies.
• Perform documented reviews of the mode ling and parameter mark review methodologies of significant new transactions for presentation to management.
• Regular contact with Business Unit Controllers on a daily basis and in particular during the month-end mark review process.
• Interaction with the Business Unit during the monthly mark review process and throughout the month.
• Project work as required on new systems and functionality enhancements.
• Working with managers to improve efficiency by challenging processes and procedures.
Skills Required:
• A qualified accountant with extensive investment banking experience, within interest rate derivatives or a similarly technical area including specific valuations and price testing experience.
• Strong product knowledge of interest rate, inflation and property derivatives.
• Excellent academics including a good degree in a highly numerate subject and good A level results are required to be able to manage the product technical complexity of this area.
• The successful candidate will need drive, determination and have an ability to work under pressure and to tight monthly deadlines.
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