Beschreibung
The role involves the validation of the final reported valuations of a wide range of financial products through independent price verification, reserving and model calibration. The results of this validation are reported through the organisation to Trading, Finance and Risk Management functions.
The Group Treasury Valuation Controller will gain exposure to valuation issues and methodologies of both linear products (swaps, bonds, etc) and option products.
The role will mainly responsible for valuation control for the Group Treasury portfolios.
Key Responsibilities:
Develop and enhance Independent Price Verification.
Review of Offshore team production and analysis.
Adhoc projects (Regulatory reporting, process improvements)
Testing of trader input prices and parameter levels against externally observed levels on IR and FX derivative products.
Assessment and generation of certain reserves required in the overall Fair Value process (Bid-Offer, model reserves, Day1 Reserves)
The role requires extensive liaison with Market Risk/Quantitative Risk and Front Office Traders and Offshore team
Reporting of IPV and Reserves to desk and to central Finance reporting team.
Continuous improvement of methodology and results generation platform and approach.
Review and building curves for valuation of Interest Rate Products and price sourcing for Bonds. An understanding of long dated bond valuation methodology would be useful.
Review of valuation methodologies in the Short term interest Rate environment
Group Objectives to be Managed:
Develop and enhance Provision management, documentation, reporting and analysis.
Contribute to developing an integrated Parameter Control and Risk/PL framework.
Drive the development and implementation of Reserving methodologies for complex market instruments.
Development of reserving policy framework for vanilla and non-vanilla trade types. This includes redefining the current valuation review methodologies and procedures, and increasingly adding value to the critical analysis performed.
Identification of valuation parameters or instrument types that require particular attention with critical analysis of the risks involved.
Obtaining relevant valuation and risk model parameter information (from Front Office/Quant Group) and implementing value added solutions to identified problems.
Requirements
The ideal candidate will combine the following skill sets:
Masters equivalent in a finance related subject desirable
Desired strong mathematical/analytical ability
Familiarity with derivative and interest rate instruments (Fixed Income options, FRAs, MM, OIS, structured products).
Computing skills including Excel, VBA, Microsoft Access. Familiarity with database architecture, development of functional requirements desirable.
Understanding of methodologies for managing traded risk.
Experience and understanding of, interest rate products and bonds valuation a must.
CFA/FRM an advantage
Good English skills are required
Experience Required:
Interested? If yes, then please send me your Curriculum Vitae.
Work location: Zurich
Start: 01.08.15
Duration: 4 months +
Permits required: EU citizen or valid work permit
Workload: 100%
Language: English
Ref: PS1819
BRINE SA has been providing its IT- and SAP specialists for short-, mid- and long-term projects in Switzerland since 1985, with customers primarily active in the following market sectors:
Financial services sector, especially banks and insurance companies Pharmaceutical industry
Government and services sectors
BRINE SA is a stable, financially independent, Swiss enterprise with its head office in Zurich. Our services cover the entire IT spectrum, as well as interfaces to the various business sectors, and range from management- and IT-consulting through to software development and project implementation.
IT - Resources
We offer our top consultants, computer profis and SAP experts to our customers as external specialists for limited assignments and as well for permanent positions.
BRINE SA is especially distinguished by its renowned characteristic strengths:
Short reaction time - rapid selection and supply of consultant's CVs, with skills matched to customer requirements
Quality - we take quality very seriously, both for internal and external-facing processes, thereby convincing many customers to maintain a long-standing business relationship with BRINE SA
Coaching - BRINE SA coaches and supports its consultants throughout the entire duration of the customer assignment
BRINE SA is ISO 9001:2008 certified since 2012