AD/Director - Credit Valuation - BFSI

Responsibilities include:

- Perform IPV for Core credit and Financing businesses including Structured Finance, review models and existing valuation policies covering all credit products.

- Price testing of bank's CVA/ FVA estimates, and their hedges (credit hedges, interest rate hedges and FX hedges).

- Calculation of fair value reserves, ensuring standardization, improvement of policies and automation of processes where possible.

- Ability to develop alternative valuation and estimation techniques with limited market colour on a wide range of fixed income products.

- Analyse and report results to relevant stakeholders.

- Maintain and enhance internal controls.

- Deal with ad hoc valuation issues and new business approvals.

- Review and independently test the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.

- Review the firm's counterparty credit risk (CCR) management framework in accordance with industry best practices and current regulatory expectations.

- Build and/or enhance existing IPV framework and controls to effectively price test products mentioned above.

- Engage with the group head and product leads on new business transactions to identify requirements and impact on the portfolio's valuation process.

- Deal with counterparts in various global and local offices across different time zones.

- Supervise activities performed by vendor staff.

- Liaise with local Independent Testing and audit Teams to help improve the control environment.

- Performing Proof calling around processes and KPC related attestations.

- Providing on ground trouble shooting for Run The Bank activities.

- Facilitating improved communication b/w on and offshore teams.

- Tracking Utilization and PEX reviews to realize efficiencies.

- Managing Relationships with vendor.

- Performing Key Procedural Controls and Attestations and work with vendor on creating relevant metrics/Key Risk Indicators.

- Reviewing Error logs and remediation process

- Streamlining the team Structure to realize efficiencies and standardization.

- Advanced Product and Process training for vendor team to allow increased ability to absorb Ad-hoc requests, perform Value add services, Engage with FO/ other functions