The Valuation Control Methodology Group formulates model related fair and prudent valuation adjustment methodologies, gives guidance on price testing methodologies and their implementation, assists on model calibration and model appropriateness across all asset classes [Commodities, Credit, Equities, Convertible Bonds, FX, Fixed Income and XVA].

- Responsibilities do not include model development or model validation. The team looks at in-house models developed by Front Office, with a specific focus on model deficiencies.

- The model related fair and prudent valuation methodologies address these deficiencies, and are based on mathematical principles and regulatory guidelines. These are formally documented for internal and external stakeholder review.

- Currently this group consists of six members (two in London and four in Singapore) and are looking to expand the function into a third location, Bangalore in India.

- This role will be based in Bangalore and will be line managed by the Head, Valuation Control-Methodology, Bangalore.

- It will involve working closely with the Model Validation team (QMR), Front Office, the Modelling & Analytics Group, Group Market Risk and Valuation Control (VC).

Key Roles & Responsibilities :

- Design, implement and document model related fair valuation adjustments.

- Design, implement and document model related prudent valuation adjustments.

- Further enhance the VC-Methodology Calculation Library (written in Haskell).

- To work with the individual VC asset groups to determine price testing methodologies.

- Ad hoc projects.

Qualifications & Skills :

- Master in Financial Mathematics or a PhD in a quantitative area.

- Experience of structured products is essential.

- Strong analytical and quantitative skills (Stochastic Calculus, PDE, Monte Carlo simulation).

- Strong understanding of derivative valuation modeling.

- Strong IT and programming skills. Advanced programming skills (Excel VBA, Java, C++, Python or other languages) are essential and experience with a functional programming language (i.e. Haskell) would be an advantage.

- Experience of Bloomberg, Reuters and other information systems, would be helpful.

- Excellent interpersonal skills, with the ability to communicate at all levels both written and verbally.

- Good team worker with the ability to work with a minimum of supervision, to organize and prioritize own work.

- A Quick learner to pick up new quantitative methodologies or implementations.

- Experience of valuation control or model validation is desirable.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.