Responsibilities / Tasks:
- Independent Price Verification of the vanilla and structured credit products
- Conduct portfolio review and explain portfolio risk drivers and provide meaningful insights into business performance
- Ensure portfolio compliance to current credit policy. Ensure appropriate reserves are taken against the underlying risk parameters
- Discuss price testing results, fair value and model reserves, general modeling issues/ uncertainties with Front Office and reporting on suitability for specific products / markets
- Generate valuation reports as well as ad-hoc analysis on portfolio for Senior GVG and trading desk Management
- Prudent Valuation building frameworks to assess prudent valuation within the Correlation portfolios
- Develop in-depth understanding of complex structures, portfolio risk and underlying model risk parameters
- Model Control applying model limitations to the portfolio via Fair Value Adjustments
- Liaising with different team to resolve valuation/ system issues
- Prepare MIS pack presentation and report the same to senior GVG Management, Front Office, Risk Management and Finance
- Take ownership of the process and models, thoroughly understand the underlying financial and mathematical concepts, make change / improvements in consultation with other stakeholders
- Develop strong relationships with product control, risk management and quantitative departments on valuation and modeling issues
Skills Required:
- Robust product knowledge in interest rate and credit derivative products
- Knowledge of loan, bond, CDS, CLN, interest rate swap, first to default basket, CDO, CLO, CMS swap, swaption, CAPs & FLOORs etc is must
- Prior work experience in credit derivatives is preferable
- Solid analytical and quantitative skills to support a valuation judgment
- Ability to communicate clearly and effectively to all the stakeholders
- Good knowledge of Excel. VBA and database experience is desirable
Interested candidates please send your updated CV, current Ctc details and Notice period in cover letter.
Hamsa.S
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