Senior Manager – PVA Stress Testing in Valuation Control
4 days left
The main purpose of this role will be to perform PVA stress testing for the Rates, FX, Credit, Equity, Commodities and Treasury portfolios.
- 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.
- Work with the VC-Methodology team to develop approaches to estimate stressed uncertainty levels around key market valuation inputs to the portfolios mentioned above.
- 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.
- Assume responsibility for the support and development of all related working files used to estimate stressed PVA.
- Pro-actively improve and automate both current and future processes associated with stressed PVA.
- Perform any ad hoc requests by management.
- Ensure that all PVA stress testing documentation is kept up to date.
- 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.
- Specific knowledge of XVA is preferred but not essential.
- 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.
- Strong IT skills required, including experience with MS Excel (including VBA). Previous experience with “R” or “Python” is preferred.
- Knowledge of market data providers such as Bloomberg, Reuters, IHSMarkit, etc. is preferred.
- Ability to work under constant pressure to tight deadlines and deliver high quality output.
- Excellent interpersonal skills, with the ability to communicate at all levels both written and oral.
- Analytical and challenging mindset.
- Strong sense of integrity and professional ethics.