VALUATION METHODOLOGY & MODEL REVIEW ANALYST
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.
- 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