Roles & Responsibilities
Perform Independent Price Verification (IPV) for Vanilla and Exotic Credit products across businesses.
Review and analyze CVA exposure markings, IPV variances and untested inventory.
Investigate valuation differences and provide commentary on alternative valuation approaches.
Prepare and present monthly valuation control packs covering IPV variances, reserves, open items and untested positions.
Support the development and standardization of valuation processes for productive execution and automation.
Assist in determining valuation methodologies and calculating valuation adjustments and reserves.
Analyze desk marking trends and support IPV and management reporting.
Collaborate with Front Office, Trading, Quants, Product Control, Risk, Finance and Valuation teams.
Support revenue recognition and reserving assessments for current products and transactions.
Coordinate with offshore teams to ensure accurate and appropriate valuation testing.
Support regulatory requirements, audits and SOX reporting related to valuation controls.
Review and enhance valuation controls, processes and digital tools.
Support Fair Value Hierarchy (FAS 157) classification and Significant Unobservable disclosures for Credit products.
Support Prudent Valuation Adjustments (PVA) calculations and methodology enhancements.
Requisites
Robust knowledge of Credit Valuation Control and Independent Price Verification (IPV).
Hands-on understanding of Vanilla and Exotic Credit products.
Knowledge of CVA, valuation adjustments, reserves and prudent valuation.
Experience in analyzing IPV variances and untested inventory.
Understanding of Fair Value Hierarchy and FAS 157.
Strong knowledge of valuation methodologies and financial product pricing.
Experience with management reporting, MIS and valuation control packs.
Understanding of revenue recognition and r