Purpose
and Scope of the role
The position is
a Quantitative Methodology Senior Analyst role in the Valuation Adjustments
team within RISK Market & Financial Institutions (“RISK MFI”).
RISK MFI provides the
Senior Management of the Group, of the RISK Function and of Corporate &
Institutional Banking (“CIB”) with full transparency and dynamic analysis and
monitoring of market, counterparty, liquidity risks originated and managed by
CIB GM and of credit risks on Financial Institutions in order to assist them in
their risk decision making and monitoring.
The Valuation
Adjustments stream is responsible for the valuation adjustments methodologies
on Fair and Prudent value (reserves, methodology corrections and independent
price verification) from their design, maintenance, implementation, regular
calibration, analysis, monitoring and reporting.
The Valuation
Adjustment team works within an Agile framework.
Responsibilities
of the Quantitative Methodology Senior Analyst 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 a 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.
- Analyse the monthly variations
of VAs stocks from complex methodologies used for exotics products and
communicate them to relevant stakeholders (Trading, Market Risk, Quantitative
Research, Finance) across the relevant business lines (Credit, Rates & FX,
Equities, Commodities).
- Represent the team in the
committees related to Valuation Adjustments
- Lead small projects to improve
the efficiency and reliability of the team processes, by developing automated
solutions leveraging high industrialization standards, or integrating the
methodologies under responsibility into IT platform in close collaboration with
IT development and Digital teams.
Role
Competencies
- Ability to gather, prioritise
and integrate large amounts of information, to process and simplify it.
- Ability to systematically
produce relevant documents with accurate, precise, and verified information.
- Ability to act in advance of a
future situation, to take control and initiatives to implement relevant actions
in the short and long term.
- Able to identify solutions to
overcome obstacles and drive results to conclusion working autonomously and
implementing work processes, ideas, and solutions with tenacity.
- Effectively deliver and adapt
complex messages according to the targeted audience.
- Value and integrate client's
feedback to improve products, services and processes.
Skills,
experience, and qualifications
- Master’s degree in finance,
Applied Mathematics, Science or Engineering. Advanced degree or professional
certifications like FRM or CFA are a plus.
- 5 years of working experience
in a relevant financial market and/or valuation methodology field. A previous
experience in Market Risk Management is an advantage.
- On programming skills, a
working knowledge of Python would be an advantage.
- An understanding of Financial
& Risk management concepts as well as derivatives products is recommended.
