VP, Interest Rates Valuation Methodology recruitment
The successful individual will get the opportunity to work in a high profile team and liaise with multiple stakeholders across the business on valuation methodology, policy, and governance. They will be involved in methodology related issues for a wide range of Rates products including Exotic Rates and long-dated FX/Rate Hybrid products. The role will involve frequent liaison with Front Office Rates Traders, the Rates IPV team, as well as consultation with Market Risk, Model Risk and Accounting Policy where appropriate.
Role responsibilities:
• Providing technical assistance and support on current market Valuation Issues e.g. CVA, secured and unsecured derivative discounting, and Fair Value Hierarchy classifications.
• Methodology also inputs into the review of valuation models from a Finance perspective, including the quantification of model reserves and of model uncertainty as appropriate.
• Governance of reserving and IPV methodologies.
• The development of IPV and Fair Value Adjustment Methodologies including the Valuation Policy Framework.
• Ensuring global compliance to policy through a global quality assurance programme.
Experince/Skills required:
• Excellent academic record including a degree in a numerate subject. A relevant MSc and / or PhD would be useful.
• Extensive experience in an Investment Bank, working in a relevant control function (Product Control, IPV, Risk Control).
• Strong analytical skills and a proven track record at problem solving.
• Working knowledge or derivatives pricing models, in particular Rates models.
• Strong knowledge of Rates products, including IPV experience
• Experience of managing small teams and projects through to completion.