Analyst/Senior Analyst - Valuation & IPV/Python - BFS

Within the Market department, our team focuses on the Front-Office valuation models and are in charge of validating market valuation framework of market assets. These assignments are absolutely strategic for the management of the Group and its compliance with banking regulations. 

Our main responsibilities are : 

- Validate valuation models,

- Validate the adequacy between these models and the payoffs,

- Validate the sources and marking of parameters,

- Validate methodologies of valuation adjustments both on models or on parameters

- Identify and monitor the model risk conducted by the market operation

Role : 

In this role, the team member will be responsible for running and developing official valuation processes on all asset classes including:

- Validation of market parameters sources for the daily PnL

- Calibration of bid/ask spreads for accounting reserves

- Calibration of uncertainty, close out cost and concentration spreads for prudent reserves

- Interacting with Front Office to handle their queries on the Valuation Adjustments

- Interacting with Finance teams who report the PnL, Reserves and adjustments

- Producing reports and analysis

- Suggesting new validation and calibration strategies

- Exploring new data sets of information to enhance the coverage of the validations and calibrations

- Working closely with the IT Quants team within the project of an industrialized platform