AVP, Valuation Methodology & Model Review Analyst

  • Sector: LMA Asia Finance
  • Contact: Bryant Tan
  • Client: LMA
  • Location: Singapore
  • Salary: Negotiable
  • Expiry Date: 02 December 2022
  • Job Ref: BBBH402580_1667370602



Valuation Adjustment - Data Analysis / Production / Monitoring

  • Monitoring, production and reporting of reliable and accurate analysis in a timely manner
  • Perform analysis of pricing information when required to and use the analysis to calibrate various inputs to valuation adjustments methodologies.
  • Propose initiatives to automate calculation, analysis and reporting tasks and implement them.
  • Provide decision-making analyses and information in negotiation and discussions around business decisions.
  • Provide relevant quantitative facts based on data to review and challenge risk analysis from Global Markets.
  • Inform relevant internal or external stakeholder for specific enquiries related to an analysis, a methodology or a data set.

Valuation Adjustment - Methodology / Documentation / Maintenance

  • Participate to the creation of a reference implementation library and environment and transfer all current valuation methodologies into a unique reference implementation solution.
  • Take ownership, maintain and enhance the current stock of methodologies.
  • Document methodologies under responsibility following group established documentation guidelines
  • Propose initiatives to facilitate the data manipulation of methodology inputs.
  • Propose and implement controls to mitigate and alert on methodology shortcomings.
  • Provide decision-making analyses and information in discussions about methodology decisions with key stakeholders (from Trading, Quant Research, Market Risk Officers and Financial Control).
  • Provide relevant quantitative facts based on data to review and challenge current methodologies.

Valuation model review (initial review, periodic re-review/reassessment, change review, ad-hoc review):

  • Consideration of model suitability, use and set up, implementation;
  • Review may include but not limited to: challenging hypotheses, verifying mathematics, reviewing input data and calibration, re-coding the same model, comparing the model with a challenger model, matching the price of standard products;
  • Understanding associated Model Risk: potential for model error; significance of associated model uncertainty;
  • Understanding interaction of model with market, product and portfolio context;
  • Documentation of independent review work and communication of findings to stakeholders (RISK management,
  • Finance, Global Markets Trading and Quantitative Research);
  • Development and maintenance of a continuous and sound dialogue with Global Markets as well as with the other RISK GM Market Risk teams.
  • Participate in developing tools for the second line of defence (2LoD) monitoring of model performance.
  • Assist in the definition, review and implementation of performance metrics limits and ensure they are well monitored.
  • Ensure 2LoD control of Product-Model-Mapping, model usage and associated configurations, in light of model limitations and product/portfolio/market specificities.
  • Ensure 2LoD control of model parameters both in terms of level (development of an independent view on marking) and their surrounding control framework (ensuring that marking rules are followed).
  • Participate in the definition and assessment of the risk management framework for new trades, products and activities which come with a strong model or quantitative element, through contribution and/or attendance to decision-making process, in particular ETs, TACs, NACs. Such responsibility may require interaction with other teams within and outside RISK GM.
  • Autonomously manage individual projects discussing progress with more experienced team members.
  • Propose improvements to individual tools, methodologies and analysis under responsibility.
  • Thrive to complete missions assigned by more experienced team members and collaborate effectively with any team member.
  • Leverage feedback received and constructively challenge own responsibilities to seek continuous improvement.
  • Facilitate information and responsibilities sharing with other team members to consolidate RISK GM's organisational knowledge.

Roles competencies

  • Ability to understand, identify and communicate key risks associated with highly quantitative topics to a variety of stakeholders.
  • Quantitative fundamentals from relevant qualification. A minimum of a Master's degree from a well-recognised university in Physics, Maths, Engineering, Financial Engineering, Econometrics or related discipline is expected.
  • One or several successful hands-on experiences in the financial industry in quantitative or data analysis fields.
  • Demonstrable experiences with Excel (+VBA), Power BI and Python or R (Python preferred).
  • A good understanding of the pricing fundamentals of financial markets products from securities to derivatives.
  • Experience in model validation will be a positive

Company Reg No.: 201131609D | License No.: 11C4684 | EA Reg no: R1660533