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Manager / Senior Manager - Derivative Model Valuation- Investment Bank

Keywords / Skills : Business Finance, Market Risk Management, FRM, Investment Banking, Valuation, Market Data, Finance Control, Model Development, New Product, Senior Management

8 - 12 years
Posted: 2018-06-12

Banking, Insurance & Financial Services
Credit Analysis/ Approval
Posted On
12th Jun 2018
Job Ref code
Job Description
Working knowledge of MS Office applications including VBA - Demonstrate ability to interact with personnel at all levels of a Top tier Financial Organization - Desired University degree in Finance, Engineering, Mathematics or related degree. Post-graduate university degree (MFE or PhD preferred) - Computer Programming Skills - Python - FRM/CPA/CFA/ACA Key Responsibilities : - Define the methodology for IPV and associated Liquidity/Model/Deal Specific Valuation Adjustments (VA) for any given product or risk (including regular methodology reviews and advice on re-calibrations) - knowledge of XVA's are a plus. - Create the standard process via system or spreadsheet on how to execute the methodology in line with compliance requirements - Perform reviews and approval of all market data constructions, functions and models used in production to value transactions - Review and Challenge the IPV processes conducted by Business Finance and Control (BFC) - Review of material new deals and changes to models and market data configurations - Assist with implementation of strategic projects, such as key risk management and system enhancements - Working closely with Traders, Market Risk Management, Model Risk Management, FO Quants, BFC, senior managers on new product, model development, model sign-off etc. - Define Fair Value Hierarchy categorization and justification and create the framework of a given product, risk, or portfolio as appropriate - Define Liquidity (covered/non-covered) and create the framework of a given product, risk, or portfolio as appropriate

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