EMEA Head of Rates IPV - Vice President EMEA Head of Rates IPV - Vice President …

in London, England, United Kingdom
Permanent, Full time
Last application, 15 Jul 19
in London, England, United Kingdom
Permanent, Full time
Last application, 15 Jul 19
Product Control Valuations at Nomura is primarily responsible for understanding, reviewing and testing the marks and valuation adjustments used to value trading positions.

The main functional responsibilities include:

  • Frequent testing of front office marks to external levels
  • Ensuring that the appropriate accounting principles and reserves are applied to reach fair value
  • Calculation of Prudential Valuation capital adjustment;
  • Development and application of rules for fair value hierarchy classification;
  • Partnering with the Front Office and other support groups in facilitating and approving new products and initiatives, in particular determining reserving and revenue recognition approaches.

This involves a close working relationship with the Front Office as well as all primary support partners including Risk Management, Quants, Model Validation Group, Operations, Finance and Legal.

Role description:

  • Perform IPV for full spectrum of Vanilla and Exotic Rates Products across all businesses, including the review of the marking of CVA exposures.
  • Determining methodology for and computation of relevant valuation adjustments
  • Responsible for management reporting of IPV, including detailed analysis of desk marking trends
  • Extensive degree of Front Office, Product Control, MVG, Finance and senior management interaction
  • Opining on revenue recognition and reserving for new product / transaction approvals
  • Training and supervising Mumbai offshore centre to ensure appropriate, and accurate testing
  • Conducting reports for all relevant areas covering regulatory requirements (e.g. Prudential Valuation, Solvent Wind Down), internal management reports and audit / SOX related reporting
  • Resolution of collateral disputes on credit products
  • Reviewing, designing and enhancing controls
  • The role also requires assistance with Fair Value Hierarchy classification for Rates products under FAS157
  • Computation of quarterly Prudential Valuation Adjustments and Significant Unobservable disclosures
  • Contributing to the overall management and development of the EMEA Valuations Product Control team

Skills, experience, qualifications and knowledge required:

  • Numerical degree with history of strong academic performance required.
  • Additional professional qualification from top university or institution preferable (ACA/CIMA, CQF, CFA, FRM, PRMIA).
  • Excellent written and oral communication skills required given the level of exposure to all levels of seniority and experience across businesses and regions.
  • VBA / SQL / Python programming skills would be preferable, but not essential.