Beschreibung
Bosshard & Partner is looking with Mandate 3071 for a Group Treasury Valuation Controller (f/m).Project environment
A global Swiss Bank is looking for a Group Treasury Valuation Controller. The role is within the Valuation Control – or “IPV” function that supports this business from within the Finance Product Control function. 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.
Tasks
The candidate will gain exposure to valuation issues and methodologies of both linear products (swaps, bonds, etc.) and option products. The role will mainly be responsible for valuation control for the Group Treasury portfolios:
• Develop and enhance Independent Price Verification.
• Review of Offshore team production and analysis.
• Ad-hoc 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.
• Review of valuation methodologies in the Short term interest Rate environment.
Requirements
• 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.
• An understanding of long dated bond valuation methodology would be useful.
• CFA / FRM is an advantage.
• Good English skills are required.
Workload: 100%
Start Date: asap
Duration: 4 months
Workplace: Zurich
Did we gain your interest? Please do not hesitate to contact Mr. Hanspeter Himmel at or