Team Lead at Black Turtle
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AVP - Valuation Methodology - IPV/Market Risk/Model Validation/Quant - BFS (4-10 yrs)
Looking for People from IPV/Market Risk/Model Validation/Quant Background.
- Define the methodology for IPV and associated Liquidity/Model/Deal Specific Valuation Adjustments (VA) for any given product or risk (including regular methodology reviews and advice on re-calibrations) - knowledge of XVA's are a plus.
- Create the standard process via system or spreadsheet on how to execute the methodology in line with compliance requirements
- Perform reviews and approval of all market data constructions, functions and models used in production to value transactions - Review and Challenge the IPV processes conducted by Business Finance and Control (BFC)
- Review of material new deals and changes to models and market data configurations - Assist with implementation of strategic projects, such as key risk management and system enhancements
- Working closely with Traders, Market Risk Management, Model Risk Management, FO Quants, BFC, senior managers on new product, model development, model sign-off etc.
- Define Fair Value Hierarchy categorization and justification and create the framework of a given product, risk, or portfolio as appropriate
- Define Liquidity (covered/non-covered) and create the framework of a given product, risk, or portfolio as appropriate Mandatory Skills
- Financial Modeling experience or equivalent in Equities
- Derivatives valuation and independent price verification experience in Equities