VP Valuation Methodology recruitment
The individual will primarily be involved in working on issues relating to Credit Emerging Markets but willingness to perform cross-cluster work in the valuations group is important. The key responsibilities for this position include, but are not limited to:
• Consideration of complex valuations and appropriateness of booking methodologies
• Participation in the product valuation governance process
• Collaboration with Senior Management, Risk Management and Model Development to highlight valuation risks inherent in current methodologies
• Design/evaluation of valuation adjustments and calibration methodologies
• Reporting of valuation issues
• Review and implementation of independent price testing methodologies
The core tasks in this role are:
• Model Reviews
• Review of Price-Testing methodologies
• Review of Price-Testing impact tolerance ranges
• Valuation Adjustments and Governance Policy and Reporting
The sucessful candidate will have a:
• Masters degree in relevant Quantitative (mathematically focussed) discipline
• Good understanding of derivatives, including knowledge of more complex and exotic products. Good understanding of pricing methodologies.
• Strong analytical and mathematical skills
• Understanding of modelling concepts (Numerical modelling, Monte Carlo) and issues in Stochastic Calculus.
• Strong Excel and VBA Skills
• Strong communication skills