Beschreibung
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