Valuation Risk Expert

This role is part of the Financial Risk/Trading Risk Management (TRM) department. The department comprises a large team of market risk, valuation and counterparty credit risk managers & analysts, with expertise in the risk management of financial markets.

The vacancy is in the TRM/Valuation team. It is an international team with an informal and open atmosphere, with team members working across Amsterdam and London, all working together with a strong delivery focus. The team is responsible for setting/designing the valuation framework and implementation in terms of fair and prudent valuation.

Main Duties and Responsibilities of Role:

The role is focused on delivering regulatory and accounting requirements across different regional hubs. The individual will be involved in topics related to valuation risks (for both trading and banking books). The key focus over the next few years will be on valuation (fair and prudent), where the individual will play a key role in the design and implementation of the IFRS and Prudential regulatory requirements. The individual’s main duties will focus on linear rates asset class amongst others.

Key responsibilities:

• Build relationships and work together with multiple stakeholders such as Front Office, Finance, Risk, Product Controllers, IT, Development & Validation Quants and market data providers for successful delivery and implementation of re-developed processes/models, ensuring that newly designed methodologies and models are appropriate, and their impacts are well understood and agreed.

• Engagement with external stakeholders such as market data vendors and consensus services.

• Engagement/follow up with regulators, auditors, validators and the industry on valuation related items.

• Ability to work with large data sets and systems, in an environment where data & processes are largely fragmented and manually managed.

• Review, understanding and summarising of pricing models, providing highlights and insights to valuation management team.

Qualification/Education

Essential: University degree in Finance/Economics/Econometrics or other science subjects

Experience/Knowledge

Essential:           

• 3 years + of experience in Banking and Finance.

• Understanding of pricing financial markets linear rates products.

• Experience managing key workstreams and providing technical expertise, regulatory requirements, and industry standards.

• Liaising with senior management and key stakeholders in complex programs.

• Experience of implementing & documenting requirements in an Investment Bank.  

Desirable:

• Expertise in working in a valuation methodology team.

• Ability to handle large datasets for analysis purposes and proficient Excel usage and programming knowledge, especially Python, SQL and/or VBA

• Understanding of pricing financial markets products on Non-Linear Rates or other asset classes.

• Design and implementation of Prudent Valuation requirements (across all VA types) in tactical and/or strategic solutions.

Personal Competencies

Essential:

• Excellent English-language communication skills, both verbal and written.

• Constructive attitude and proactive team player.

• Good stakeholder management

• Critical thinking and strong analytical skills.

• Independent and creative with focus on delivering pragmatic and feasible solutions.

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