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| Derivatives Valuation Controller |
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– The Valuation Controller will be a member of the "Valuations Team” which forms part of Global Rates Derivatives Business Unit Control, based in London.
– The Valuations Team conducts month end price and parameter testing, culminating in a Month End Valuation Review, critically analysing the portfolios balance sheet valuation, headline risk analysis, model & liquidity provisioning and all other valuation issues.
– The group is responsible for driving BUC's IAS39 implementation of the treatment of Day 1 P&l for the Global Rates Derivatives business.
– An important element to the development of this role, is to ensure it is focussed on adding value. This relates both to the product analysis, and also IT solutions/Valuation models built and used.
Specifically, the role will entail:
– Perform and strengthen valuation Price testing processes.
– Assist in the monthly TOTEM submission, ultimately improving/building price testing spreadsheets.
– Calculate provisions and assist in ensuring global consistency / strengthening provision policies.
– Contribute to the preparation of the monthly Valuations pack for Senior Management.
– Perform ad hoc reserve reporting requirements.
– The role requires extensive liaison with QRC, MRC and Front Office Traders
Group Objectives to be Managed:
– Develop and enhance Provision management, documentation, reporting and analysis.
– Contribute to developing an integrated Parameter Control and Risk/P&L framework.
– Drive the development and implementation of Reserving methodologies for complex market instruments.
– Development of reserving policy framework for vanilla and non-vanilla trade types. This includes redefining the current valuation review methodologies and procedures, and increasingly adding value to the critical analysis performed.
– Identification of valuation parameters or instrument types that require particular attention with critical analysis of the risks involved.
– Obtaining relevant valuation and risk model parameter information (from Front Office/Quant Group) and implementing value added solutions to identified problems.
– Developing value-added control processes for complex securities |
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Bachelors
Other Certification (CA/CIMA)
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3 years + |
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English : Speak / Write Fluently
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open-ended |
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unspecified |
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EU National |
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London |
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– The ideal candidate will combine the following skill sets:
– Desired strong mathematical/analytical ability
– Familiarity with derivative instruments (fixed income options & derivatives and credit derivatives/exotics).
– Computing skills including Excel, VBA, Microsoft Access. Familiarity with database architecture, development of functional requirements desirable.
– Understanding of methodologies for managing traded risk.
Education;
Undergraduate Degree
CA/CIMA |
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Headquartered in Zurich and Basel, UBS is a global firm providing financial services to private, corporate and institutional clients. UBS is present in all major financial centers and has offices in over 50 countries. |
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UBS
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