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AVP XVA and Credit IPV Controller
About Our Client
Leading Top Tier Investment Bank based in London
Overall purpose of role:
PC-Valuations is organised by asset class, with the CCM XVA team focusing on performing the IPV and associated Valuation Control for the business managing Credit & Funding Adjustments and beyond
- Independent price verification, oversight of fair value adjustments, calculation of prudential valuation adjustments and escalation of valuation issues.
- Reporting results and conclusions to management with recommended actions.
- Submission of levels to TOTEM XVA polling service and analysis of associated results.
- Liaising with Quantitative Analytics, Market Risk and strategic price testing application IT Support
- Analysis of valuation models & market data as part of the price verification process.
- Performance of shallow/deep dives or other investigations into themes arising each month or working to conclude longer-standing projects.
The Successful Applicant
Key Accountabilities and Skills required:
- Performance of the monthly IPV, PVA (prudential valuation adjustment) and FVA calculations for the desk managing the CVA and FVA adjustments for uncollateralised and partially collateralised counterparties.
- Provide Valuation analysis and consolidation of price testing information for Finance, Management and the Valuation Committee and associated Sub Committees including Audit and regulator objectives via the production of the monthly Price Testing pack and relevant meetings
- Maintenance of the general Control governance, completeness, IPV and documentation surrounding these businesses.
- Interactions with Key Stakeholders (PC-Line, Front Office, IT, Infrastructure, Valkyrie) and provide technical valuation support to the Front Office, Product Controllers and Management.
- Production of monthly MI data for presentation with adequate due diligence for accuracy.
- Ensuring all testing procedures are documented / compliant with policies
- Work with peers in other PC-Valuation teams to help establish best practice guidelines and ensure these guidelines are well-communicated and adhered to
Your Skills and Qualifications will include
- -Degree or equivalent experience
- -Good understanding of credit instruments pricing with a particular focus credit derivatives (CDS, Index CDS).
- -Strong communication skills and the ability to present and discuss complex issues with counterparts from Trading, Finance, Market Risk and other areas.
- -Ability to clearly present arguments and defend views under challenge from others
- -Previous experience in a control environment (Line product control or valuation control)
- -Excellent Excel, VBA, Word skills including use of macros to build -reporting and analysis tools
- Ability to learn and use in-house tools and analytics
What's on Offer
Exciting and challenging role within the IPV space with a concentration on Credit and XVA