AVP - Valuation Control - BFS

Valuation Governance:

Management of the model governance process including model usage. Failure to use appropriate models may lead to improper valuation and risk calculations resulting in material misstatement of financial statements and regulatory reporting. Independent review of IPV and valuation issues at the Independent Valuation Review (IVR) and IPV Meetings. Identification and review of Significant Unobservable Parameters and Prices (SUPP) by the SUPP process.

Role:

This is a critical role within VRC Globally. Usually involvement is concentrated in the 1st and 3rd weeks of the month. The tasks performed by this team cover all the Regions. Your involvement could be in either of Equity Derivatives, Credit or Fixed Income Products.

VRC tasks:

- Submitting Trader prices to Consensus Data Providers

- Calibrating the external risk parameters from the consensus data prices

- Perform IPV of all trades, positions and risks within responsibility area by sourcing independent prices and parameters

- Perform IPV in accordance with approved IPV methodology documents based on the appropriate frequency; monthly unless specified otherwise

- Ensure IPV differences are actioned in accordance with the appropriate action ability framework category, and/or unadjusted differences properly recorded in the centralized reporting application

- Ensure that the IPV methodologies and any explanations provided by Traders for unadjusted differences are fully understood and commented according to policy

- Escalation of non-compliance with pricing procedures or unapproved product types in the portfolio

- Inclusion of any positions with unverifiable prices or model parameters in reports for the Senior Management

- Ensure prices and position sizes of internal trades are price tested and that the marks are compared between books

- Apply Bid/Offer (Exit Risk) adjustments to the value of the instrument to the appropriate bid/offer level that would be realized in normal market conditions. The common risk categories for which a bid/offer determination would be expected are delta, vega, forward, correlation etc.

Your role

- Managing a team of 2-7 members including setting objectives and performance appraisal

- Perform detailed review of price testing including population, completeness, calculation, and documentation and formula integrity. Perform tasks yourself where required

- Ensure all exceptions identified have been followed up with relevant parties and resolved by the task performer

- Ensure all exceptions and overrides to standard testing procedures are supported by documented requests from global stakeholders

- Perform overall analytical review on impacts and month-on-month movements

- Understand and explain results generated

- Ensures complex Excel and VBA tools are used appropriately

- Document reviews in supervisory control sheets on a timely basis

- Ensures supervisory feedback is incorporated into results

- Escalate P&L impacts - thresholds and exceptional outcomes to VP / Directors.

- Provide e-mail confirmation that review of price testing results satisfactorily completed and requesting final review by VP

- Perform SOX testing as defined by the CS framework

- Initiate and implement efficiency enhancement projects on a regular basis.