EMEA Head of Rates IPV - Vice President

London, United Kingdom
07 Jul 2019
31 Jul 2019
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
The main functional responsibilities include:
  • Frequent testing of front office marks to external levels
  • Ensuring that the appropriate accounting principles and reserves are applied to reach fair value
  • Calculation of Prudential Valuation capital adjustment;
  • Development and application of rules for fair value hierarchy classification;
  • Partnering with the Front Office and other support groups in facilitating and approving new products and initiatives, in particular determining reserving and revenue recognition approaches.

This involves a close working relationship with the Front Office as well as all primary support partners including Risk Management, Quants, Model Validation Group, Operations, Finance and Legal.

Role description:
  • Perform IPV for full spectrum of Vanilla and Exotic Rates Products across all businesses, including the review of the marking of CVA exposures.
  • Determining methodology for and computation of relevant valuation adjustments
  • Responsible for management reporting of IPV, including detailed analysis of desk marking trends
  • Extensive degree of Front Office, Product Control, MVG, Finance and senior management interaction
  • Opining on revenue recognition and reserving for new product / transaction approvals
  • Training and supervising Mumbai offshore centre to ensure appropriate, and accurate testing
  • Conducting reports for all relevant areas covering regulatory requirements (e.g. Prudential Valuation, Solvent Wind Down), internal management reports and audit / SOX related reporting
  • Resolution of collateral disputes on credit products
  • Reviewing, designing and enhancing controls
  • The role also requires assistance with Fair Value Hierarchy classification for Rates products under FAS157
  • Computation of quarterly Prudential Valuation Adjustments and Significant Unobservable disclosures
  • Contributing to the overall management and development of the EMEA Valuations Product Control team

Skills, experience, qualifications and knowledge required:
  • Numerical degree with history of strong academic performance required.
  • Additional professional qualification from top university or institution preferable (ACA/CIMA, CQF, CFA, FRM, PRMIA).
  • Excellent written and oral communication skills required given the level of exposure to all levels of seniority and experience across businesses and regions.
  • VBA / SQL / Python programming skills would be preferable, but not essential.

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