AVP - Valuation Control - Investment Bank

This is Pune based role within Product Control - Valuation Risk and Control

Finance Division Mandate :

- Actively manage bank's capital, funding, liquidity and expenses to ensure we are well-capitalized and have a strong enough balance sheet to withstand adversity and uncertainty

- Drive cost efficiencies and growth discipline

- Committed to improving the control, quality and efficiency of our information, advice and services

- Engage with business to actively prepare bank for regulatory changes

Product Control :

Product Control are the Financial Guardians of the Bank's trading activities. We fulfill this role through:

- Ensuring complete, accurate and timely P&L, Balance Sheets and analysis.

- The independent validation of the value of our trading portfolios

- Working with the businesses and the new business product groups to evaluate & integrate new products and businesses into our financial environment in a controlled manner.

- The provision of reliable and meaningful financial information to the business managers, external stakeholders and other relevant internal constituents.

- Executing controls to detect unauthorized trading or unusual activity and escalate in a timely manner to senior management

Valuation Risk and Control : 

Valuation Risk and Control (VRC) is a horizontal valuation service within Product Control, covering products across all divisions. VRC's objective is to identify, analyze and mitigate risks associated with the valuation of the firm's financial positions. Our core values are integrity, technical leadership and teamwork

VRC are primarily responsible for executing the independent Inventory Valuation control aspects of Product Control's primary role as the financial guardians of the Bank's sales and trading activities

VRC Controllers provide two core Product Control services:

- Valuation Governance and Execution: ensuring the independent completeness of inventory valuations and evaluation of valuation models and impacts of new products and businesses

- Valuation Consultation: ensuring reliable and meaningful valuation information is provided to interested parties, including Front Office

Independent Price Verification (IPV)

Key control to ensure the firm's trading and banking assets and liabilities are correctly valued. Failure to perform this control may lead to misstatement of the firm's financial statements, risk information and regulatory reporting as well as adversely impacting business decisions. IPV results are escalated to Product Control Management, VRG and Front Office ensuring appropriate actions can be taken where differences arise. VC responsibilities include formulating and conducting independent price verification processes.

Valuation Adjustments

Valuation adjustments are made to ensure the firm's positions are marked at their appropriate Fair Value in order that the financial statements are accurate. Fair Value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between participants at the measurement date. Objective of Fair Value measurement is to determine the - Exit Price- for an instrument. VC responsibilities include validating methodology and partnering with BC for the calculation of valuation adjustments.

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 actionability 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

Qualifications / Experience :

- Degree level education from a Top Tier University

- Qualified Accountant with Top Tier Firm / MBA

- 5-10 years relevant Investment Banking experience, preferably in Valuation Risk and Control functions

- Proven people management experience (team size of 2-7)

- Highly numerate with strong analytical skills and ability to define and apply logical approach to issue resolution

- Ability to clearly articulate and present to Senior Management and Regional Stakeholders / Regulators

- Excellent communication (written, verbal, presentation) skills

- Strong team player with the ability to work closely across locations

- Ability to create and lead High Performing Teams

- Strong control focused mindset and hands-on approach to investigating issues;

- Strong attention to detail

- Expertise with Microsoft Excel

- Sound understanding of derivatives and valuation principles

- Good programming skills (e.g. C++, VBA, although actual language is not important)