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16/08 Shalini Rana
Leadership Hiring at Mancer Consulting

Views:4463 Applications:48 Rec. Actions:Recruiter Actions:25

Director/Head - Methodology - Risk & Valuation Control - Investment Banking (14-20 yrs)

Mumbai Job Code: 732587

Director/Methodology Head, Mumbai (Risk and Valuation Control)

ROLE OVERVIEW :

- This role is responsible for managing both the Valuation Methodologies and the Risk Methodologies teams.

- The Valuation Methodologies team (VM) are the quantitative/technical specialists in the Global Valuations Group (GVG), providing technical assistance and expertise to the Independent Price Verification (IPV) teams across all the asset classes globally.


- VM works independently of the Front Office and constructively challenges their valuations and proposed methodologies.


For instance, VM are responsible for :

- Developing Independent Price Verification (IPV) methodologies, which are used by the IPV teams to independently test the valuations of all the bank's positions on a monthly basis,

- Developing methodologies for all the fair value adjustments, such as for example, liquidity adjustments and model reserves,

- Developing Prudent Valuation methodologies that are compliant with the EBA Regulatory Technical Standards. These methodologies are used to calculate the Additional Valuation Adjustments (AVAs), which impact the CET1 capital of the bank

- Working with cross function stakeholders (in the Front Office, Risk and Finance) to implement transformational change programs that enable the improvement of the Valuation Control and the Pricing Model Control frameworks across the bank.

- Developing tools (built for e.g., in Phyton code) which allow the automated implementation of complex methodologies, often in collaboration with the Front Office Quants

- Providing ongoing assistance and technical support to the IPV teams, and in particular during month-end

Key stakeholders for VM are the IPV teams across all asset classes, the Front Office Quant teams (Strats), the trading desks, as well as various departments in Finance, Treasury & Risk.

- Risk Methodology (RM) is responsible for model development of internal risk and capital models across market, credit and operational risk. Key stakeholders within the Risk Department are therefore the risk management functions Market Risk Management, Credit Risk Management (including Business Aligned Risk Managers), Operational Risk Management and Enterprise Risk Management.

- RM carries out this responsibility in an independent and neutral way, providing a comprehensive and independent view of market and credit risks to Senior Management.

- The candidate is required to have in-depth front to back understanding of any one of the major asset classes with solid understanding of products. Experience in multiple asset classes is a plus.


- The candidate should have a strong track record in stakeholder management and leadership skills in addition to technical skill set.


- The candidate should have the influencing skills needed to establish a strong and sustainable commercial and valuation risk culture in partnership with senior stakeholders.

KEY RESPONSIBILITIES :

- Manage Mumbai Risk and Valuations Methodologies teams working on XVA methodologies, Valuation model calibrations and Model fair value adjustments, Market risk, Credit Risk and CCAR methodology

- Have complete ownership for all outputs of Mumbai team ensuring that there is adequate review of all results and be responsible for presenting them to the senior management

- Ensure all the processes and issues are adequately documented for internal and external requirements.

- Management of Internal and external relationships across the regions and be the escalation point for issues management and resolution.

- Proactively improve processes and methods including streamlining, automation and off-shoring of existing processes

- Develop a control mind-set and technical ability in the team to enable them to take on more complex and challenging work whilst reducing the amount of process work and increasing the control and oversight over the processes run by the team.

- Provide technical expertise, as well as ongoing support, training and guidance on valuation models and valuation methodologies, to the VM team members in Mumbai.

- Perform a quality control of the team's deliverables, monitoring and reviewing their work to ensure that the output is correct and adequate.

- Be a good communicator and demonstrate technical and process ability to the team at a detailed level, as the role will require the individual to have a hands-on approach to dealing with problems and issues

- Contribute to the strategic infrastructure-related projects for increasing efficiency and improving controls

In particular, key outputs will be required in following areas :

Valuation Methodologies :

- Play a key role in building, enhancing and implementing methodologies and control frameworks for

- XVA methodologies including CVA/DVA/FVA/COLVA/MVA/KVA for OTC derivative positions in collaboration with the various stakeholders

- Valuation Adjustment methodologies for multiple asset classes, including model reserves

- Prudential Valuation methodologies to address uncertainties related to expert judgements, valuation models, market data uncertainties, administrative costs of legacy positions, concentration risk, etc.

Risk Methodology :

- Market Risk

- Recalibration of model parameters which are used in the internal risk and capital models for market risk, in particular for Value-at-Risk models

- Recalibration of model parameters which are used in the internal ratings based models for credit risk

- Recalibration of the period of significant financial stress for calculating SVaR

- Recalibration of scaling factors for estimation of materiality of risks-not in the VaR model

Credit Risk/CCAR :

- Regular monitoring of the credit risk score quality for credit applications

- Data analysis and preparation for credit risk rating model development and parameter calibrations

- Analysis support for Risk Methodology teams in Europe, e.g. explaining outcomes of internal models for businesses

- Work with CRM units to explain outcomes of the score monitoring and/or data quality / operation teams on artefacts detected in the model development data

- Develop and maintain CCAR models and methodology

The teams engage in a number of initiatives, ad hoc analysis and projects and it is expected that the applicant will also be materially involved in project-based work.

KEY EXPERIENCES AND SKILLS :

- MSc/PhD in preferably mathematical / statistical / engineering / physics/ economics background.

- Knowledge of Risk models as well as Valuation models e.g. Black-Scholes, reduced-form credit models, IR term structure models, local volatility and SABR/stochastic volatility models and their uses/limitations in pricing vanilla/exotic derivatives is highly desirable

- High level of academic achievement, preferably mathematical / statistical / engineering / physics/ economics background.

- Ideally the candidate will have several years- experience within the valuation control/product control/market risk/front office departments of a large investment bank. Specific exposure to reserving, pricing and modelling aspects of valuation control of trading businesses is preferred.

- Good working knowledge of Excel/VBA. Experience in Python, C, C++ etc will be a plus

- Hands-on experience of market data providers including Reuters, Bloomberg, ISMA and Markit/Totem..

- Management experience of specialist teams of 20 plus teams is a plus

- The candidate must be numerate, articulate and confident. Must be able to interact effectively with the senior management. Good communication and organisational skills required.

- The individual should be highly motivated and should have demonstrated an ability to work in a team. The candidate should be able to work effectively under pressure, multitask and take a proactive approach to all aspects of the role. The individual should have an ability to devise creative solutions to issues as they arise while maintaining a strategic perspective.

Shalini Rana
MANCER Consulting Services

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

Women-friendly workplace:

Maternity and Paternity Benefits

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