Manager, Valuation Control
Overview of the Role: Manager Valuation Control Division: Global Markets Finance, FINANCE
The job-holder will be part of the Global Markets Finance (GMF) department, reporting to the Head of Global Markets Finance.
The role of the Valuation Control function is to cover Global Markets Trading & Sales, performing independent price verification (IPV) of financial instruments held by Global Markets. The objective is to ensure that valuation methodologies are in compliance with accounting standards, regulatory requirements and the internal polices of the bank.
Specific processes carried out by the Valuation Control function include:
- Price testing - verification of mark-to-market prices, using a variety of techniques and making reference to independent sources of data.
- Model validation - assessment of the validity of pricing models and other valuation techniques.
- Reserves & adjustments - to determine appropriate adjustments to base prices to account for market imperfections and other factors affecting fair value.
- New product review - to ensure that the valuation treatment for new products is in compliance with applicable standards, regulations and policies.
- Structured trade review - timely pre-trade review of complex transactions, to provide an independent assessment of the financial viability, integrity and valuation of the proposed trade.
Work with the Head of Valuation Control to achieve the objectives of the Valuation Control function. This includes both project-based and recurring responsibilities:
- Design, implement, document & run monthly price testing procedures for all products to support the Global Markets trading business. Performed on a regular (e.g. monthly) cycle. Job-holder may initially specialize in particular asset classes within the overall Global Markets portfolio.
- Develop, document and maintain Reserves policy to cover provisioning calculations for all products.
- Perform validation of pricing models and other valuation techniques, both on initial implementation as well as part of a regular cycle of ongoing model validation.
- Develop skills in the critical review of proposed new transactions, working closely with other stakeholders and the front office to perform pre-trade due diligence.
- Continuous process improvement, with the objectives of improving price testing quality and coverage through better data and analytics, automation and process efficiency.
- Provide an independent expert opinion on valuation-related and transactional issues.
- Provide constructive challenge and solutions to Front Office.
- Able to interact confidently and authoritatively with external parties including counterparties, regulators etc.
- Respond promptly to queries from GMF colleagues, other departments and Front Office.
- Adherence to applicable accounting standards, regulations and policies to minimize audit risk exposures.
- Identify and address any shortcomings in current valuation processes.
- Relationship management with other departments, regulators, counterparties and other parties.
- Degree in Finance, Accounting or a quantitative discipline (e.g. Engineering, Actuarial Science, Mathematics or Statistics).
- Preferably with ACCA/CPA and/or relevant professional qualifications (e.g. PKMC; FRM; PRMIA; CFA).
- Minimum 5-7 years of relevant working experience, preferably related to capital markets. For example, independent price verification, product control, risk management, quantitative analyst, structured products, middle office, ALM, credit or equity analyst, financial institution audit (esp. covering treasury).
- Familiar with treasury instruments: fixed income, FX, money market, derivatives (rates, FX, credit), Islamic.
- Critical analysis skills are essential. Demonstrated ability to assess limitations or weaknesses in an existing methodology (especially in the areas of valuation, reporting or risk measurement), and to design appropriate adjustments or procedures to compensate.
- Responsible and able to perform recurring processes consistently and reliably. Attention to detail and ownership of job responsibilities is crucial.
- Ability and willingness to learn continuously, and across a wide range of subject areas.
- Familiarity with quantitative concepts in fixed income (e.g. bootstrapping; duration) and derivative pricing (e.g. volatility surfaces) highly desirable. Prior experience with derivative pricing software (e.g. Murex; Bloomberg derivative pricing functions; FinCad) will be well regarded.
- Strong Excel skills essential, preferably with VBA. Familiarity with simple relational databases (e.g. MS Access) and query writing will be well regarded.
- Experience with Murex highly desirable. Familiarity with Bloomberg and/or Reuters desirable.