Valuation Adjustment Framework Consultant

 

Department overview

 

Our client’s well-developed Risk management culture is based on a long-term perspective, a committed management, and a strong and independent Risk organization led by RISK FUNCTION.


RISK FUNCTION is today a global function present in five continents and at the forefront of Risk management through best-in-class expertise.

 

Mission overview:

 

  • Advise the Bank Management on the definition of risk policy;

  • Contribute as a “second pair of eyes” to ensure that risks taken by the Bank are aligned with its policies;

  • Report and Alert Bank Management on the status of risks to which the Bank is exposed.

A deconcentrated organization covering all the Business Lines and encompassing the whole chain of risk-taking.

 

Requirement:

 

This requirement is within the RISK Global Markets (RISK GM) Market Risk team. The role is required for a rapid review of the valuation adjustment framework including price testing (market parameter adjustment, or MAP), Fair Value reserves (FVR), and Prudent Value adjustments (PVA) and to contribute to improvement work. This work will be performed in collaboration with RISK GM market risk analysts and under the oversight of RISK GM management.

 

The mission will be to:

  • Perform a rapid review of the PVA/FVR/MAP framework across Global Markets

  • Identify areas for improvement, associated with materiality and priority metrics

  • Confirm plan and timeline of improvement works with RISK GM management

  • Contribute to improvement work on key priority areas

  • Ensure visibility and transparency of work progress and overall status

 

The mission covers the full Global Markets perimeter, covering all asset classes with the most significant being Equity Derivatives and G10 Interest Rates, but also including FX, Local Market Rates, Commodities and Credit Derivatives. A full range of products will also be covered, from delta-one to vanilla option to exotic.

 

We are looking for someone with market risk experience across asset classes, with experience in Equity Derivatives (EQD) and Interest Rate Derivatives (IRD) being necessary at a minimum. The candidate must have experience of Prudent Value adjustment (PVA) methodologies and calculation, as well as an understanding of the regulatory requirements in this area. The candidate should also have knowledge of Fair Value reserve and price testing methodologies and calculation.

 

Good communication skills (both written and oral) are highly important to this role as it will be important to synthetically communicate the results of the review to stakeholders, collaborate with market risk experts in the teams and communicate the improvement work  progress.

 

Profile and Skillset

 

  • Education: Graduate/Post-graduate in relevant subject (e.g. Finance, Economics, Sciences)

 

  • Experience: 5+ years’ relevant experience; market risk experience covering EQD and IRD; experience and knowledge of Prudent Value adjustment methodologies, implementation and regulation; experience of price testing and Fair Value reserves preferred; market risk experience in other asset classes an advantage; knowledge of model risk an advantage.

 

  • Languages: English

 

  • Skills: Strong market risk background (product and market knowledge and expertise); organisational skills; ability to summarise; ability to formulate and follow a complex plan; ability to challenge and formulate alternative proposals; good communication skills; ability to work autonomously

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