Responsibilities include:
- Perform IPV for Core credit and Financing businesses including Structured Finance, review models and existing valuation policies covering all credit products.
- Price testing of bank's CVA/ FVA estimates, and their hedges (credit hedges, interest rate hedges and FX hedges).
- Calculation of fair value reserves, ensuring standardization, improvement of policies and automation of processes where possible.
- Ability to develop alternative valuation and estimation techniques with limited market colour on a wide range of fixed income products.
- Analyse and report results to relevant stakeholders.
- Maintain and enhance internal controls.
- Deal with ad hoc valuation issues and new business approvals.
- Review and independently test the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.
- Review the firm's counterparty credit risk (CCR) management framework in accordance with industry best practices and current regulatory expectations.
- Build and/or enhance existing IPV framework and controls to effectively price test products mentioned above.
- Engage with the group head and product leads on new business transactions to identify requirements and impact on the portfolio's valuation process.
- Deal with counterparts in various global and local offices across different time zones.
- Supervise activities performed by vendor staff.
- Liaise with local Independent Testing and audit Teams to help improve the control environment.
- Performing Proof calling around processes and KPC related attestations.
- Providing on ground trouble shooting for Run The Bank activities.
- Facilitating improved communication b/w on and offshore teams.
- Tracking Utilization and PEX reviews to realize efficiencies.
- Managing Relationships with vendor.
- Performing Key Procedural Controls and Attestations and work with vendor on creating relevant metrics/Key Risk Indicators.
- Reviewing Error logs and remediation process
- Streamlining the team Structure to realize efficiencies and standardization.
- Advanced Product and Process training for vendor team to allow increased ability to absorb Ad-hoc requests, perform Value add services, Engage with FO/ other functions
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