The bank for a changing world

Assistant Vice President – Global Markets Valuation & Risk Control Specialist

Contract

Standard / Permanent

Location

US-NY-New York

Job function

MISCELLANEOUS

Reference

ITO000344

Business Overview:
Valuation & Risk Control (V&RC) is a global function, whose main missions are:
  • In conjunction with R-IM, to independently verify and report on the accuracy of market parameters used in the preparation of P&L and Collateral Valuation (IPV – Independent Price Verification).
  • In support of trading management, to monitor and of day and intraday risk limits and ensure adherence to Trader Mandates.
  • In conjunction with R-IM, to ensure that the use of models, parameter sets and calibration parameters is in line with approved set ups.
V&RC Structure Overview: V&RC is composed of 3 sub-groups; a Transversal Control group that concentrates on monitoring the risk functions and trader mandates across Global Market and 2 valuation teams one for Fixed Income products and the other for Commodity and Equity products. These 2 teams concentrate on validating the prices and parameters assigned by Trading and analyzing the results of the IPV to identify mismarking and highlight issues to management.
 
Position Overview:
This position is a new function within the group and offers the individual a unique opportunity to grow and develop his/her talent. The main purpose for this position is to create capacity in the sub-groups during critical periods during the month and to provide back-up function during vacation time. The individual will report directly to the head of the group but will be managed by the manager overseeing the particular task. The group head will manage priorities and resolve timing conflict, should they arise.
 
The individual will be exposed to valuation as well as the risk control functions. He/she may be assigned permanent tasks but will also be expected to rotate across the groups as the need arises. It is expected that during any given day the individual will perform both risk control tasks as well and valuation tasks. He/she may also be involved in long term projects. Given the unique position of this function, he/she may be asked to manage and coordinate tasks that cut across the groups. The individual will also enhance the existing documentation.   
 
Responsibilities:
Valuation controls:
Establish and carry out the checks of parameters where the regional Valuation & Risk Control team has price verification responsibility (IPV). This includes:
  • Implementing an appropriate process where responsibility is being transferred from R-IM or any other area
  • Ensuring handover and methodology documentation on the Parameter review processes are up-to-date and signed-off by management
  • Reviewing exceptions with the Front Office price contributors ensuring they understand the price verification process and allowing them opportunity to challenge V&RC findings and present supporting evidence for their prices
  • Maintain a steady dialogue with Front Office and R-IM to:
  • Stay abreast of market conditions and developments which would impact prices
  • Understand FO pricing techniques and tools
  • Ensure all available market data sources are understood and integrated into the IPV process 
  • Ensuring that corrections are made to the P&L where required and clearly communicating results to affected groups (i.e. Financial Control, Middle Office).
  • Ensuring a parameter based approach to IPV when possible
  • Ensuring the MAP methodology exhausts all related risks globally. 
  • Contribute to the evolution of the price verification processes. This includes identification of the instruments which create risk in the corresponding parameters and the assessment of alternative checking methods and sources. Analyze and question current processes and contribute to their improvement.
  • Actively and regularly coordinate with V&RC Central colleagues to ensure:
  • MAP and pre-MAP schedules are agreed and followed
  • Results are accurately communicated and included in Global Reporting
  • Global practices are understood and harmonized where possible
  • Contribute to the maintenance of the matrix (market data cartography) that records the details for all parameters used in the Official P&L, ensuring that all parameters are controlled and accounted for and changes are properly authorized.
  • Organize and store all month end reviews and relevant materials, ensuring that records are accurate and complete. Carry out periodic reviews to ensure that documentation is adequate for internal and external reviews.
Risk Controls:
  • Perform local / regional control processes to ensure all Trading Activity is monitored and consistent with defined trading mandates and risk limits.
  • Ensure Trading Mandates are vetted and signed–off by Trading and Management; changes are documented and exhaustively maintained.
  • Ensure all breaches are thoroughly investigated, understood, documented and promptly escalated to Management according to policy.

  • 3 to 4 years of prior experience working in a Valuation group, Risk group, or some other control function within an Investment bank
  • A Bachelor degree in Finance, Business, Economics or hard science
    • A Master’s degree in Finance, Business, Economics or hard science is preferred
  • In-depth knowledge of at least on product either in fixed income, equities or commodities and some exposure to the other asset classes
  • In-depth theoretical knowledge of derivative pricing
  • Prior working experience with analysis P&L and risk decomposition into Greeks
  • Excellent communication skills both written and oral
  • Control oriented mindset
  • Excellent Excel, VBA, Word and PowerPoint skills

Skills:

As this is an unusual function, we are also looking for an individual who will be able to succeed in a complex working environment. Specifically the individual should possess the following personal characteristics:

  • Be flexible
  • Be a quick learner with the ability to grasp new concepts
  • Enjoy learning new ideas and being challenged constantly
  • Comfortable working in a matrix reporting environment
  • Hard worker and result orientated
  • Ability to deliver quality work under time pressure
  • Comfortable communicating with Traders and other senior managers
  • Look to add value in all tasks performed
  • Be able to suggest process improvements
  • Comfortable escalating issues as they occur 

FINRA Registration:

  • Series 7 is a plus but, not a requirement

"BNPPRSR"