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Valuation Controller - Currencies & Emerging Markets – VP/Senior Associate - Hong Kong
August 12, 2018
Valuation Control Group (VCG) is an independent group within Finance whose primary responsibility is to ensure that the firm's risk portfolios are fairly valued. The group sets independent pricing and fair value adjustments policies. VCG highlights concentrations in risk and uncertainties in parameter inputs and works with the trading and quantitative groups to fully understand their implications from a risk/return perspective and the impact on the desk's level of reserving. In addition, VCG is responsible for the review of approximately loaded trades, high level risk / P&L analysis, approval of new products, and model releases.
VCG is organized along business lines including, IB Risk, Credit, Rates, Equities, Emerging Markets, Securitized Products, Principal Investments FX & Commodities. Stakeholders of the group include senior management, business heads, regulators, and both internal and external audit. The group also works closely with the Traders, CFOs, Market Risk, and Middle Office to ensure a complete understanding of business issues and the accurate execution of valuation policy.
The candidate will be based in Hong Kong and support the valuation control function for Asia CEM Rates Exotics & Hybrids business covering a range of products including securities, FX, rates and credits derivatives as well as various exotics products. BAU coverage
Fair value adjustments and independent price testing execution, methodology review and documentation
Participate in Totem consensus services on rates products
Analysis of markets, P&L & Risk with understanding of the factors that drive valuation and risk
Highlight concentration, illiquidity, uncertainty in valuation as well as price variances to Front Office and Finance management
Review of concentrated/illiquid positions, complex/approximately loaded transactions affecting valuation
Enhance existing control framework including reviewing independent pricing processes, assessing potential coverage developments
Work with Trading, QR, Middle Office, MRM, Finance and Model Review to continually monitor the various valuation risks of the business and implement appropriate adjustments
Manage operationally 1 Associate
Minimum 5 yrs of relevant experience (e.g. Market Risk, Valuation Control or Product Control). Managerial experience is a plus.
Analytical and quantitative aptitude
Good existing knowledge of Asia EM markets and onshore/offshore derivative products in general. Understanding of valuation concepts in FX, rates and credits products and related accounting knowledge
Ability to use core risk management systems (Kapital, Athena) and familiarity with Totem service preferred
Track record of dealing with Front Office and coordinating with other control groups
Strong communications skills and be comfortable interfacing senior management
Experience of dealing with Asian regulators would be beneficial
Keen eye for potential control deficiencies and desire/ability to rectify