Group Treasury Valuation Controller 100%

Your challenge
The FXMM & GT business comprises trading and market making in Linear, Repo and Derivative products. The role is within the Valuation Control or IPV function that supports this business from within the Finance Product Control function. The role involves the validation of the final reported valuations of a wide range of financial products through independent price verification, reserving and model calibration. The results of this validation are reported through the organisation to Trading, Finance and Risk Management functions.

Group Treasury Valuation Controller
will gain exposure to valuation issues and methodologies of both linear products (swaps, bonds, etc) and option products. The role will mainly responsible for valuation control for the Group Treasury portfolios.

Key Responsibilities:

• Develop and enhance Independent Price Verification.
• Review of Offshore team production and analysis.
• Adhoc projects (Regulatory reporting, process improvements).
• Testing of trader input prices and parameter levels against externally observed levels on IR and FX derivative products.
• Assessment and generation of certain reserves required in the overall Fair Value process (Bid-Offer, model reserves, Day1 Reserves).
• The role requires extensive liaison with Market Risk / Quantitative Risk and Front Office Traders and Offshore team.
• Reporting of IPV and Reserves to desk and to central Finance reporting team.
• Continuous improvement of methodology and results generation platform and approach.
• Review and building curves for valuation of Interest Rate Products and price sourcing for Bonds. An understanding of long dated bond valuation methodology would be useful.
• Review of valuation methodologies in the Short term interest Rate environment.

Group Objectives to be Managed:

• Develop and enhance Provision management, documentation, reporting and analysis.
• Contribute to developing an integrated Parameter Control and Risk/P&L framework.
• Drive the development and implementation of Reserving methodologies for complex market instruments.
• Development of reserving policy framework for vanilla and non-vanilla trade types. This includes redefining the current valuation review methodologies and procedures, and increasingly adding value to the critical analysis performed.
• Identification of valuation parameters or instrument types that require particular attention with critical analysis of the risks involved.
• Obtaining relevant valuation and risk model parameter information (from Front Office/Quant Group) and implementing value added solutions to identified problems.

Your profile
The ideal candidate will combine the following skill sets:

• Masters equivalent in a finance related subject desirable
• Desired strong mathematical/analytical ability
• Familiarity with derivative and interest rate instruments (fixed income options, FRAs, MM, OIS, structured products)
• Computing skills including Excel, VBA, Microsoft Access
• Familiarity with database architecture, development of functional requirements desirable
• Understanding of methodologies for managing traded risk.
• Experience and understanding of, interest rate products and bonds valuation a must
• CFA/FRM an advantage
• Good English skills are required