Own the FVR, MC, PVA and IPV methodologies on the scope defined above, more specifically:
• Design and document methodologies in line with internal and regulatory requirements.
• Provide methodology specifications and validate their implementations.
• Represent FVR and PVA methodology topics in the relevant committees.
• Review the FVR and PVA methodologies at the appropriate frequency.
• Point of contact on these topics with internal and external stakeholders. Methodology & Charge Calibration
• Review the charges required by the FVR/PVA methodologies at the appropriate frequency. Compute, analyze and seek validation for changes through (e)VMC.
• Where relevant, calibrate or approve the netting methodology satisfying the Variance Ratio Test (VRT) at the appropriate frequency.
• Own the choice of data sources used within methodologies, review them on a regular basis and adapt them as needed.
• Own the IPV methodologies related to the business and regional scope covered. Analysis, Monitoring & Reporting of Valuation Adjustments in scope
• Manage the computation, and certify all month-end FVR/MC, IPV and all quarter-end PVA.
• Analyze monthly the variations of valuation adjustments stocks and communicate to front office and other stakeholders. Also provide visibility on the intra-month evolutions of these adjustments where relevant.
• Represent RISK MFI in the relevant Valuation Risk Committees for VA-related topics.
• Provide timely analysis on relevant market evolutions affecting uncertainty, liquidity or observability.
• Promote standardization of methodologies across locations and business lines.
