Senior Manager – PVA Stress Testing in Valuation Control

Location
Bangalore City, Bangalore (IN)
Salary
Negotiable
Posted
Jun 25, 2019
Closes
Aug 24, 2019
Ref
1900008347
Job Function
Banking
Industry Sector
Investment Bank
Employment Type
Full Time
Education
Masters

The main purpose of this role will be to perform PVA stress testing for the Rates, FX, Credit, Equity, Commodities and Treasury portfolios.

  1. Develop deep understanding of the valuation control processes supporting the XVA, Rates, FX and Credit portfolios, including IPV, fair value adjustments, and prudent value adjustments.
  2. Work with the VC-Methodology team to develop approaches to estimate stressed uncertainty levels around key market valuation inputs to the portfolios mentioned above.
  3. Help to support the BAU valuation control process for the main asset classes, including FX, Rates, Credit, Equities, Commodities, Treasury and Loan Syndications, as required.
  4. Assume responsibility for the support and development of all related working files used to estimate stressed PVA.
  5. Pro-actively improve and automate both current and future processes associated with stressed PVA.
  6. Perform any ad hoc requests by management.
  7. Ensure that all PVA stress testing documentation is kept up to date.

Requirements:

  1. Minimum of 5 years of valuation control experience, covering IPV and both fair and prudent valuation adjustments. Prior stress testing experience of PVA is not essential.
  2. Specific knowledge of XVA is preferred but not essential.
  3. Educated to University degree level, preferably in a Quant related discipline (e.g. Financial Engineering, Mathematics, Physics, etc.).  Preference will be given to candidates who have completed a Masters level degree or higher.
  4. Strong IT skills required, including experience with MS Excel (including VBA).  Previous experience with “R” or “Python” is preferred.
  5.  Knowledge of market data providers such as Bloomberg, Reuters, IHSMarkit, etc. is preferred.
  6. Ability to work under constant pressure to tight deadlines and deliver high quality output.
  7. Excellent interpersonal skills, with the ability to communicate at all levels both written and oral.
  8. Analytical and challenging mindset.
  9. Strong sense of integrity and professional ethics.