EMEA Head of Rates IPV - Vice President

The main functional responsibilities include:

• Frequent testing of front office marks to external levels
• Ensuring that the appropriate accounting principles and reserves are applied to reach fair value
• Calculation of Prudential Valuation capital adjustment;
• Development and application of rules for fair value hierarchy classification;
• Partnering with the Front Office and other support groups in facilitating and approving new products and initiatives, in particular determining reserving and revenue recognition approaches.

This involves a close working relationship with the Front Office as well as all primary support partners including Risk Management, Quants, Model Validation Group, Operations, Finance and Legal.

Role description:

• Perform IPV for full spectrum of Vanilla and Exotic Rates Products across all businesses, including the review of the marking of CVA exposures.
• Determining methodology for and computation of relevant valuation adjustments
• Responsible for management reporting of IPV, including detailed analysis of desk marking trends
• Extensive degree of Front Office, Product Control, MVG, Finance and senior management interaction
• Opining on revenue recognition and reserving for new product / transaction approvals
• Training and supervising Mumbai offshore centre to ensure appropriate, and accurate testing
• Conducting reports for all relevant areas covering regulatory requirements (e.g. Prudential Valuation, Solvent Wind Down), internal management reports and audit / SOX related reporting
• Resolution of collateral disputes on credit products
• Reviewing, designing and enhancing controls
• The role also requires assistance with Fair Value Hierarchy classification for Rates products under FAS157
• Computation of quarterly Prudential Valuation Adjustments and Significant Unobservable disclosures
• Contributing to the overall management and development of the EMEA Valuations Product Control team

Skills, experience, qualifications and knowledge required:

• Numerical degree with history of strong academic performance required.
• Additional professional qualification from top university or institution preferable (ACA/CIMA, CQF, CFA, FRM, PRMIA).
• Excellent written and oral communication skills required given the level of exposure to all levels of seniority and experience across businesses and regions.
• VBA / SQL / Python programming skills would be preferable, but not essential.