Lead/Expert - Valuation Control - BFSI

Responsibilities :

This job offer concerns a position within the Bangalore VAL team. The collaborator will actively participate to the production of various deliverables related to IPV, RP and Prudent Valuations Adjustment. This includes :

1. Performing various IPV production tasks such as submission to consensus provider, implying market parameters, valuation certification.

2. Providing commentary and analysis on major drivers for IPV at desk level.

3. Parameter cartographies: sourcing of the market parameters used in valuation, preparation of input files required for running the cartographies, run of cartography production process.

4. IPV reports: participation to the collection and control of data, production of the reports.

5. Consensus process: insertion of consensus-obtained levels in the referential system, pricing of products using consensus levels.

6. RP computations

7. RP analysis (analytical review)

8. Calibration of bid/ask spreads for accounting reserves

9. Calibration of uncertainty, close out cost and concentration spreads for prudent valuation adjustment (PVA)

10. Interacting with Front Office teams to handle their queries on the Valuation Adjustments.

11. Exploring new data sets of information to enhance the coverage of the validations and calibrations. Suggesting new validation and calibration strategies

12. The collaborator will actively participate to various works that aim at upgrading production framework, tools, and processes. Candidate will be required to work on Python/VBA scripts to achieve these objectives.