Lead/Director - Rates IPV Valuations

Rates IPV Valuations Lead/Director

The Rates business comprises trading and market making in Linear, Non-Linear and Hybrids interest rates, long dated FX and rates hybrids products across EMEA, US and APAC.

The role is within Valuations Control and involves the validation of the final reported valuations of the products within the above areas through a combination of independent price verification, reserving and model calibration analysis. The results of this validation are reported through the organisation to Trading, Finance and Risk Management functions.

IPV processes within the team include traditional price and input parameter comparison to external market levels and quantification, reporting and adjustment of variances (rates and inflation curves, basis and funding spreads, volatilities, bond prices).

Evaluation around complex and option products increasingly follows the principles of - Exit Price testing- (output pricing) and involves detailed re-calibration of option models parameters to reference prices and subsequent quantification of this calibration change to the bank's portfolio. Exit testing is undertaken at product level and forms a significant portion of the month-end IPV work undertaken.

Role and Responsibilities :

- Preparation and review of detailed valuation reports to include analysis/issues for reporting and discussion with Risk, Front Office, Model Validation and Finance.

- Generation and assessment of certain reserves required in the overall Fair Value process (Bid-Offer, model reserves, Day1 Reserves).

- Testing of Exotics model calibration effectiveness - evaluation and reporting of calibration differences across the existing portfolio.

- Analysis, discussion and agreement of variances and methodology with Valuation Methodologies team, desk & Risk Management.

- Reporting of IPV results and Reserves to both the desk and to central Finance IPV reporting team.

- Continuous improvement of methodology and results generation approach and process platform.

- Calculation and review of valuation uncertainty under IFRS and Prudential Valuations including refining exiting methods.

- Provide value added service, maintain controls and challenge the business.

- Provide link between onshore London and offshore India based teams.

- Deal with ad hoc valuation issues and new business approvals.

Candidate :

- Detailed understanding of Rates (Yield Curve, Cost of Tenor, MCOF, Inflation, Govt Bonds) IPV and reserving.

- Familiarity/Market experience with Rates and FX derivative non-linear instrument pricing methods and sources.

- Strong quantitative skill-set with full understanding of relevant pricing models e.g. SABR and BGM/LMM.

- A self-starter who is delivery focused with the ability to think laterally under pressure.

- Excellent verbal and written communication skills.

- Experience of working in similar valuation roles or relevant areas e.g. Risk/Front Office.

- Control experience and relevant qualification e.g. Chartered Accountant / CFA.

- Masters degree in relevant mathematical subject.