Associate Director - Equity Valuation Methodologies Controller

Job Profile:-

The role covers vanilla and exotic products including but not limited to Volatility Target Options, CPPIs, VolSwaps, VarOptions, Structured Cliquets, Autocallables, Barrier Options, structures with complex callable and lookback features.

The main responsibilities of the Valuation Methodologies (VM) team are as follows:

- Engineering of independent price testing methodologies for new products and on-going review of existing ones

- Review of valuation methodologies underlying model and liquidity reserves

- Assessment of new model and analytics implementations

- Approval of Front Office marking methodologies and valuation adjustments for product/model combinations

- Approver in the Valuation Model Governance framework, focusing on the appropriateness of market data and its use in the model calibration and valuation adjustment methodologies, as well as on their adequacy to achieve fair value for each product.

- Independent Price Verification (IPV) Quality Assurance - ensuring policies and methodologies are consistently applied across products and regions

- Technical assistance to the IPV and product control teams

- Central execution of complex calibration routines that drive model deficiency valuation adjustments and model input parameter testing globally.

The successful candidate's objective is therefore to proactively and continuously challenge and advance valuation methodologies and processes, pro-actively participate on increasing the model governance standards and develop and implement new ways to capture and represent valuation uncertainty. In addition to its quantitative nature, the position offers the opportunity to contribute to global, valuation related initiatives within organisation and to interact with colleagues across functions and locations.

The role demands the following skills:

- The job requires a good balance between the practical hands on knowledge of Quantitative models from a product valuation perspective and ability to assess & quantify the uncertainties embedded in the product valuation.

- Assessment of the uncertainties in the valuation of the products and analysing the already existing valuation adjustments or developing new methodologies to take appropriate adjustments.

- Assessment of the uncertainties in the valuation of the products which covers model calibration, input parameters, marking of parameters, underlying model dynamics, model risk, market data liquidity, etc.

- Working in close collaboration with the IPV team, Front Office Quants, Finance Product Controllers, Model Validation Quants, Market Risk and Traders to address the various valuation issues.

- Good understanding of model risk control and measurement

- Dynamic and detail- orientated with an ability to exercise good business judgement and provide effective challenge to models and their application to specific products

- The candidate should have a good working knowledge of Equity Structured products including but not limited to Volswaps, VarOptions, Structured Cliquets, Outperformance Options, Autocallables, volatility surface parameterisation frameworks, volatility and skew bid offer reserving frameworks,

- Familiarity with market data (consensus prices) and the way the various products trade in the market from a dynamic supply and demand perspective.

The individual is expected to be proactive, take ownership of issues and work in a busy and unsupervised environment which requires the ability to work independently. The candidate also needs to be willing to work in a group when required and communicate proactively with other team members, particularly across different locations (by phone, email or video conference).

The individual should have an outgoing, confident personality with exceptional interpersonal skills and ability to identify & manage risks effectively.

Business & technical expertise - having other specialised knowledge and skills

Specify:

Knowledge of Matlab / Scilab, functional C/C++ or other technical programming language is desirable

Strong knowledge of Excel and VBA - Managing Valuation Risk.

Problem Solving Skills.

Excellent documentation skills are essential.

Renita Frank