VP – Exotic Credit Valuations recruitment

The department focuses on the following:

• Independent price verification and the calculation of fair value adjustments 

• Reporting results and conclusions to senior management with recommended actions 

• Liaising with Quantitative Analytics, Market Risk and Model Validation as part of the trade approval process

• Analysis of valuation models as part of the price verification process

• Oversight and analysis of reserve methodologies and oversight of product observability review processes

The role we are recruiting for resides in Structured Credit IVC which includes a wide number of credit businesses. The main responsibilities of this specific role are:

• Independent price verification for the Credit Correlation Credit Exotics businesses

• Calculation of various fair value adjustments

• Deep dive on a number of exotic structures / products to establish new valuation methodologies

• Full ownership / responsibility of the month end production process:

oMarkit / Totem month end Submissions

oGeneration of variances, uncertainty, reserves …

oAnalysis of results

oEscalation of valuation issues

• Managing the communication of Price Testing results to senior finance management, trading desks and external stakeholders (auditors, regulators), via the production of the monthly Price Testing pack and relevant meetings

• Working on creating solutions / improvements to the IPV process.

• Running alternative Scenarios and explaining results to senior management in Front Office Finance.

• Depending on the candidate’s performance, the mandate of the role might be widened to include more credit desks

Person Requirements

• Subject matter expertise on exotic credit derivatives: Bespoke CDOs, NTD, Tranches, Index CDS, CDS…

• 2:1 degree or equivalent at undergrad level in mathematical / scientific discipline from top-tier University

• Excellent Excel, VBA, Word skills including use of macros to build reporting and analysis tools

• Previous experience in a credit control environment (Line product control or valuation control)

• Familiarity with derivative pricing in general