Head, Valuation Control-Methodology, Bangalore
The Valuation Control Methodology Group formulates model related fair and prudent valuation adjustment methodologies, gives guidance on price testing methodologies and their implementation, assists on model calibration and model appropriateness across all asset classes [Commodities, Credit, Equities, Convertible Bonds, FX, Fixed Income and XVA].
Responsibilities do not include model development or model validation. The team looks at in-house models developed by Front Office, with a specific focus on model deficiencies. The model related fair and prudent valuation methodologies address these deficiencies, and are based on mathematical principles and regulatory guidelines. These are formally documented for internal and external stakeholder review.
Currently this group consists of six members (two in London and four in Singapore) and are looking to expand the function into a third location, Bangalore in India.
This role will be based in Bangalore and will involve working closely with the Model Validation team (QMR), Front Office, the Modelling & Analytics Group, Group Market Risk and Valuation Control.
-Manage the Valuation Control-Methodology (VC-M) team in Bangalore. - Design, implement and document model related fair valuation adjustments. - Design, implement and document model related prudent valuation adjustments. - Further enhance the VC-M Calculation Library (written in Haskell) To work with the individual VC asset groups to determine price testing methodologies. -Manage and train other members of staff. -Ad hoc projects.