Manager/Senior Manager - Derivative Model Valuation - Investment Bank

One of our leading Investment banking clients in Gurgaon is looking for Sr. Manager role who strong experience Model Valuation from Top Tier1 Institutes.

Designation : Manager(IC) / Sr. Manager (IC)

Experience : 6 - 8+ Years

Qualification : Mathematical background/Independent price verification/ Tier 1 institutes preferred

Location : Gurgaon

- Working knowledge of MS Office applications including VBA

- Demonstrate ability to interact with personnel at all levels of a Top tier Financial Organization

- Desired University degree in Finance, Engineering, Mathematics or related degree. Post-graduate university degree (MFE or PhD preferred)

- Computer Programming Skills - Python

- FRM/CPA/CFA/ACA

Key Responsibilities :

- Define the methodology for IPV and associated Liquidity/Model/Deal Specific Valuation Adjustments (VA) for any given product or risk (including regular methodology reviews and advice on re-calibrations) - knowledge of XVA's are a plus.

- Create the standard process via system or spreadsheet on how to execute the methodology in line with compliance requirements

- Perform reviews and approval of all market data constructions, functions and models used in production to value transactions

- Review and Challenge the IPV processes conducted by Business Finance and Control (BFC)

- Review of material new deals and changes to models and market data configurations

- Assist with implementation of strategic projects, such as key risk management and system enhancements

- Working closely with Traders, Market Risk Management, Model Risk Management, FO Quants, BFC, senior managers on new product, model development, model sign-off etc.

- Define Fair Value Hierarchy categorization and justification and create the framework of a given product, risk, or portfolio as appropriate

- Define Liquidity (covered/non-covered) and create the framework of a given product, risk, or portfolio as appropriate