VP- Model Validation and Valuation Analysis- Level Hired Depends on Experience recruitment
- Reviewing and analyzing valuation models from a Financial Control perspective including appropriateness of model inputs, model limitations, and assessing the need for model valuation adjustments
- Reviewing, testing, documenting and approving model and non-model market valuation adjustment methodologies and computations
- Developing and maintaining valuation model input documentation
- Developing price verification procedures, and performing price verification, when needed.
- Reviewing and improving the existing methodologies for independent verification of portfolio valuations
- Analyzing, and assessing the model based valuations of complex new trading products, and developing new methodologies to verify their valuations
- Interacting with Product Control, Market Risk Management, Model Validation, Business, Regulators, and Auditors
- Escalating valuation risk issues to senior management of Finance.
Qualifications
-7+ years of related experience in a valuations or related role. Master's degree is required in a quantitative discipline such as Mathematics, Physics, Engineering, Financial Engineering or a related quantitative field. Candidate with a PhD will be preferred
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- Specific experience in equity interest rate, credit and commodity derivative valuation and independent price verification
- Practical and theoretical experience in mathematical finance and derivatives valuations, working knowledge of constructing market data curves and surfaces, such as yield curves, correlation skew surfaces, volatility surfaces, and financial valuation model testing
- Strong written and oral communication skills and the ability to discuss and explain difficult financial concepts
- Strong computational skills. Knowledge of Monte Carlo simulation, binomial and trinomial trees, finite difference methods and factor models strongly preferred
- Strong computer programming skills including C++, Matlab, JAVA, and Excel, ACCESS VBA required.