Job Title: Valuation Methodology role

Department: RISK

About Business line/Function: RISK MFI

Position Purpose: Fulfil the mission statement of RISK MFI Valuation Adjustments by taking ownership of the definition, maintenance, documentation, reference implementation, testing and release of methodologies used for Valuation adjustments covering Independent Price Verification (IPV), Fair Value Reserves, Prudent Value Adjustments among all asset classes. Contribute to maintaining the right and the related Valuation Input cartographies.

The role provides a unique chance to join the Valuation Adjustments team within the RISK MFI organization and to be directly involved in reinforcing the governance, controls and visibility of RISK MFI on all IPV and MC processes while actively participating in strengthening the industrial features of the valuation adjustment platform.

Valuation Adjustment team works within an Agile framework.

Responsibilities

Responsibilities of the Quantitative Methodology Specialist role





Lead or contribute to the maintenance and design of existing or new methodologies based on (1) knowledge and expertise on the underlying products; and (2) proper quantitative analysis using historical data and simulation.
Assess the impact of internally or externally driven updates to the methodology set and communicate with the relevant stakeholders (trading, quantitative research, risk managers, risk methodology approvers, audit) before release.
Perform the calibration of Valuation Adjustments methodologies at the defined frequency leveraging large data sets of market information.
Continuously develop and improve critical opinion about the data set used in the methodologies under responsibilities, exploring and integrating new sources and regularly assessing the quality of the existing set.
Manage and overview the computation, validation and reporting of monthly & quarterly VAs.
Analyze the monthly variations of VAs stocks from complex methodologies used

📌 Valuation Methodology (Mumbai)
🏢 BNP Paribas
📍 Mumbai