Valuation Controller - BANKING

Vor Ort
4 months
Nicoll Curtin Technology
flag_no Schweiz

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Valuation Controller - Treasury, Banking, Zurich

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/P&L 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.

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