CRISIL - Senior Research Analyst/Lead Analyst - Valuation Analysis

Job Description Sheet - Valuation Control Analyst

Job title - Senior Research Analyst / Lead Analyst

Location - Mumbai

Experience : 3-7 years

Job Duties:

 - The Client is a leading global bank with more than 40,000 employees. The incumbent analyst will be expected to leverage robust derivative valuation experience to resolve any valuation discrepancies arising from systems, models and inputs. 

- Provide independent valuations, either for P&L or to inform business decisions. 

- Reporting and engagement with multiple stakeholders across front and back office.

- Product Control (PC) works closely with all business stakeholders to achieve the objectives of the firm, in compliance with all relevant regulations and reporting requirements.

- The role will be dedicated to supporting Africa & International across banking and trading book including Global Markets and Treasury. The incumbent will work closely with the BNCS team, Risk and the GM and Treasury Business Partner teams as well as partnering with the Product Control team.

Key responsibilities:

- Understanding of valuation of Bonds, and Options (vanilla & exotics), and associated sensitivities

- Good understanding of Value at Risk, Stress testing, Back testing and Sensitivity analysis

- Good understanding of Swaps (IR, CCS, FX etc.) valuation including curve construction methodology

- Good to have understanding of Volatility based models (Local/Stochastic)

- Check and ensure validity and accuracy of valuations given the inputs and models used, and investigate & resolve issues impacting valuations

- Provide analysis of pricing variance drivers, perform due diligence on the reliability of market data from multiple sources such as Bloomberg, Markit-Totem, brokers and other independent sources

- Previous experience with Valuation Control Group, IPV and valuation adjustments

- Challenge balance sheet numbers

- Perform valuation adjustments while considering factors such as bid/offer (Exit Risk) spreads, liquidity and counterparty credit risk

- Knowledge of CRR- Prudent Valuations and Additional Valuation Adjustment (AVA) components

- Ensure that the IPV methodologies and any explanations provided by Traders for unadjusted differences are understood and commented according to policy

- Create a reserve for incorrect models or inputs

- Check validity and reliability of data sources and data used

Qualification :

- Post-graduate qualification in Mathematical Finance or another quantitative discipline or similar degrees

- Professional qualification (e.g. CPA, CFA, MBA, FRM and Chartered Accountant) is preferred

Skills Required:

- Sound knowledge of financial instruments and the pricing principles underlying these

- Financial modelling

- Very proficient in VBA/Python/C++ and Microsoft Office with advanced Excel

- 3+ years financial services, preferably banking experience

- Strong analytical skills and ability to resolve issues quickly

- Excellent communication (written, verbal, presentation) skills