.About The JobThe position is in the Valuation Adjustments team within RISK Market & Financial Institutions ("RISK MFI").
RISK MFI provides the Senior Management of the Group, of the RISK Function and of Corporate & Institutional Banking ("CIB") with full transparency and dynamic analysis and monitoring of market, counterparty, liquidity risks originated and managed by CIB GM and of credit risks on Financial Institutions in order to assist them in their risk decision making and monitoring.
The Valuation Adjustments stream is responsible for the valuation adjustments methodologies on Fair and Prudent value (reserves, methodology corrections and independent price verification) from their design, maintenance, implementation, regular calibration, analysis, monitoring and reporting.
Your Main Activities Are Lead or contribute to the maintenance and design of existing or new methodologies based on (1) knowledge and expertise on the underlying products; and (2) proper quantitative analysis using historical data and simulation.
Assess the impact of internally or externally driven updates to the methodology set and circulate clear communication to the relevant stakeholders (trading, quantitative research, risk managers, risk methodology approvers, audit... ) before release.
Perform the calibration of Valuation Adjustments methodologies at the defined frequency leveraging large data sets of market information.
Continuously develop and improve a critical opinion about the data set used in the methodologies under responsibilities, exploring and integrating new sources and regularly assessing the quality of the existing set.
Manage and overview the computation, validation and reporting of monthly & quarterly VAs.
Analyse the monthly variations of VAs stocks from complex methodologies used for exotics products and communicate them to relevant stakeholders (Trading, Market Risk, Quantitative Research, Finance) across the relevant business lines (Credit, Rates & FX, Equities, Commodities).
Represent the team in the committees related to Valuation Adjustments Role Competencies Ability to systematically produce relevant documents with accurate, precise, and verified information.
Ability to act in advance of a future situation, to take control and initiatives to implement relevant actions in the short and long term.
Ability to gather, prioritise and integrate large amounts of information, to process and simplify it.
Able to identify solutions to overcome obstacles and drive results to conclusion working autonomously and implementing work processes, ideas, and solutions with tenacity.
Effectively deliver and adapt complex messages according to the targeted audience.
Value and integrate client's feedback to improve products, services and processes.
Profile And Skills To Success Master's degree in finance, Applied Mathematics, Science or Engineering.
Advanced degree or professional certifications like FRM or CFA are a plus