Independent Pricing Valuation Role - BFS

Independent Pricing Valuation Role

Role Description :

In this role, the team member will be responsible for running and developing official valuation RISQ processes on all asset classes including :

- Validation of market parameters sources for the daily PnL

- Calibration of bid/ask spreads for accounting reserves

- Calibration of uncertainty, close out cost and concentration spreads for prudent reserves

- Interacting with Front Office to handle their queries on the Valuation Adjustments

- Interacting with Finance teams who report the PnL, Reserves and adjustments

- Producing reports and analysis

- Suggesting new validation and calibration strategies

- Exploring new data sets of information to enhance the coverage of the validations and calibrations

- Working closely with the IT Quants team within the project of an industrialized platfor

Requirements :

Functional :

- Strong knowledge of financial products and their valuation methods (prefer expertise on both - equity and fixed income products (vanilla and exotics))

- Good understanding of accounting reserves and regulatory prudent reserves

- Good understanding of statistical methods

- Demonstrate effective problem solving and analytical skills

- Ability to pay attention to detail, pro-active, critical thinking

Technical :

- Proficiency in MS Office Tools (Especially in Excel), Python

- Ability to use internal databases and financial pricers