Valuations Controller - Credit Products

A role exists within the Valuation Control Group whose main function is to perform independent price testing for firm's Credit products including Single-Name Credit, structured credit, CVA/FVA and other credit derivatives.

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.

Basic Qualifications:

- Master's degree in Finance, Math, Economics, Engineering or an MBA.

- 4-6 years of relevant experience. Bachelors in these fields would be acceptable with very strong relevant experience.

- CFA an advantage.