Ownership of the definition, maintenance, documentation, reference implementation, testing and release of methodologies used for Valuation adjustments covering Fair Value Reserves, Prudent Value Adjustments and Independent Price Verification among all asset classes.
- Drive the creation of a reference implementation library and environment for Valuation Adjustments Methodologies, its standards and practices and promote its global usage.
- Stay alert in exploiting internal technology improvements and exert influence to achieve the best prioritisation for own needs.
- Establish state-of-art methodology documentation practices and enforce them.
- Take ownership, maintain, propose and deliver enhancements to the current stock of methodologies to reach more harmonisation and consistency.
- Drive initiatives to facilitate the data manipulation of methodology inputs
- Decide and defend methodology choices after discussions with main stakeholders from Trading to Market Risk Officers and justify such choices to external validators.
- Develop relevant interactions with the valuation Risk Officers, Internal 2nd LoD to gather a large consensus on methodology retained.
- Stand ready to lead, help and contribute to the tasks of other team members and data analysts.
- Constantly review the whole set of methodology to define key priorities of improvements.
- Experience in either Market Risk or Front Office or Valuation Methodologies.
- Quantitative education.
- Product knowledge (cross-asset or single asset class).
- English language communications skills.
- A positive mindset and a "can-do" attitude.
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