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Valuation Analyst - XVA

Alexander Mann Solutions (Contingent)
London, United Kingdom
Closing date
Dec 4, 2022

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Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Our investment banking client has been present in the UK for more than 150 years, they're a long-term partner to British business. Today, the Group is formed of 10 divisions and employs 9,300 staff based in 21 core locations right across the country. Their role is simply stated: help clients achieve their goals by combining local know-how and global reach. In so doing, they seek to make a positive, sustainable contribution to both the UK economy and society.

On behalf of this organisation, AMS are looking for a Valuation Analyst - XVA for a 6 Month contract based in London or Hybrid.

Purpose of the Role:

The role is focused on delivering the permanent supervision duties in relation to the scope covered by the VRG team in London, with focus on the economic, fair and prudent valuations used by the business line and the functions. The job is business line oriented and business line facing. It is organised around a monthly rhythm/cycle where the team oversees reviewing the controls performed by some departments involved in the Valuation and the Valuation control processes, namely the Product Control (involving amongst other the P&L Production, and the industrial independent price verification processes), the Risk teams, the Global Markets teams (Trading and Research departments). The role's objective is to ensure the controls performed at all levels are exhaustive, effective, and appropriately documented.

As a Valuation Analyst - XVA you will be responsible for:
  • Focus specifically on the valuation chain of Counter party linked Valuation adjustments (XVAs: CVA, DVA, FVA, etc..) for all derivatives.
  • Ensuring that appropriate controls over valuation-related configurations (including model mappings, pricing configurations, market parameter configurations, reserves parameterisation, fair value hierarchy configurations) are adequately maintained by the relevant departments, are in line with the approved methodologies and internal policies. This mandate comprises primarily methodological focus as Finance holds escalation rights in relation to methodologies, and also operational dimension. To be in position to fulfil the role, the team is granted access to any methodological corpus or detail, to spreadsheets, and has capabilities to perform independent reviews through access to systems, official documentations. Furthermore, the team has mandate to interfere in the methodology approval workflow and holds escalation rights in the Valuation Methodology Committee meetings.
  • Ensuring that appropriate controls over official market data used in P&L production are in place and that marking is economically fair and compliant with accounting rules and the Companies independent price verification (IPV) policy by liaising with the relevant departments performing the IPVs, reviewing and at times critically analysing monthly IPV results and procedures, and attending Market Data Control Committee meetings (which govern the market data referential and policies),
  • Monthly reporting to senior FI management on the results of month end IPV controls, reserves, DOP, marking differences, and identified marking or control issues
  • Contributing to the assessment of the adequacy and soundness of the fair value adjustment framework, and to the development of the Prudent Value framework. The ability to provide pertinent assessment of the soundness of these frameworks from methodology perspective is the result of the deep knowledge developed on the underlying processes (IPV, models), and to the deep knowledge of the existing process and its operational setup.
  • Ensuring XVA scope completeness by computing XVA figures using standard methodology approach where there is not already a process in place

What we require from the candidate:
  • Excellent experience in financial industry preferably in Risk management or valuation control.
  • An understanding of the XVA modelling and XVA risk-management strategies.
  • An understanding of Fixed Income products (bonds, swaps, futures, swaptions, caps, floors, bond options, FX Options, FX Spots, Repos, IR exotics).
  • An understanding of Fixed Income related market data (rates, volatilities, correlations...), and potentially their sources, and the main associated products,
  • Good PC skills (VBA and Access, Python coding).
  • A good understanding of risk concepts (delta, vega, VaR...).
  • A good understanding of the basic concepts and models in mathematical finance.
  • A deep sense of control on independent valuation controls.
  • Some familiarity with P&L reporting processes and stakes.
  • An understanding of deal processing flows and associated issues.
  • MS education background; Competencies: Positive attitude to complying with deadlines and objectives.

If you are interested in applying for this position and meet the criteria outlined above, please click the link to apply and we will contact you with an update in due course.

This client will only accept workers operating via an Umbrella or PAYE engagement model.

AMS, a Recruitment Process Outsourcing Company, may in the delivery of some of its services be deemed to operate as an Employment Agency or an Employment Business

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