Manager, Valuation Control - Stress Testing
- Employer
- Standard Chartered GBS
- Location
- Bangalore City, Bangalore (IN)
- Salary
- Negotiable
- Closing date
- Aug 24, 2019
View more
- Job Function
- Banking
- Industry Sector
- Investment Bank
- Certifications
- Passed CFA Level I, Passed CFA Level II, Passed CFA Level III (Charter Pending)
- Employment Type
- Full Time
- Education
- Masters
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The main purpose of this role will be to perform PVA stress testing for the XVA, Rates, FX and Credit 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.
- Support the BAU valuation control process for XVA, a key component of stressed PVA.
- Assume responsibility for the support and development of all related working files.
- Pro-actively improve and automate the current process.
- Perform any ad hoc requests by management.
- Ensure that all stress testing documentation is kept up to date.
Requirements:
- 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.
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