Valuations, Models & Methodology, FICC Flow & Exotics
The Valuation Control Methodology Group formulates model reserve and valuation adjustment policies, gives guidance on price testing methodologies and their implementation, assists on model calibration and model appropriateness across all asset classes.
The role will also involve interaction with Front Office, the Modelling Analytics Group, Group Market Risk and Valuation Control.
Key Roles Responsibilities
- To review model validation memos and formulate and implement model reserve methodologies to address any model limitations that are highlighted in theses memos
- To work with the individual VC asset groups to determine price testing methodologies
- Work with global valuation control and methodology teams to develop and improve the current methodology or quality assurance for IPV and reserving framework
- Ensure a quality valuation control though trade population completeness check, IPV threshold trade level exception, untested exposure, proper reserves (D1, liquidity, and model), remarking, stale mark check, zero mark check, FVH classification, etc
- New product approval /new business initiative review from the valuation perspective
- Manage and train other members of staff
- Management of key global stakeholders
- Ad hoc projects
Successful Candidate will have:
- Master in Financial Mathematics or a PhD in a quantitative area
- Strong derivatives knowledge, experience of rates structured products is desirable, but candidates with experience of structured products in other asset classes will be considered
- Management experience
- Solid experience and command of Valuation Methodology
- Strong analytical and quantitative skills
- Strong understanding of financial modeling
- Strong IT and programming skills Advanced Excel skills are essential and experience with a functional programming language would be an advantage
- Excellent interpersonal skills, with the ability to communicate at all levels both written and verbally
- Good team worker with the ability to work with a minimum of supervision, to organize and prioritize own work
The successful candidate may come from a Valuations Methodology, Quantitative or Market Risk background.
For a detailed JD please contact Emma Bennett: ebennett@astoncarter.com, +65 6434 8452
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