Financial Risk Specialist - Valuations 3

Main Duties and Responsibilities of Role: The role is focused on delivering valuation regulatory and accounting requirements across different regional hubs. You will be involved in a variety of topics related to valuation risks (mostly for trading but also for banking books) to deliver the ‘Valuation Program’, which aims to address new regulatory requirements and higher model risk management expectations in this area. The key focus over the next few years will be on valuation (re)developments, where you will play a key role in the design, development, implementation, testing and roll out to production of IFRS and Prudent Valuation (AVA) related enhancements across several asset classes. As part of the ‘Valuation Program’, you will be responsible for ensuring the successful and timely delivery of one or multiple workstreams in the project, which will be aligned to committed regulatory & internal deadlines. A high-level overview of these workstreams is presented below: - Designing, implementing, and maintaining a compliant fair and prudent valuation framework and governance for all Fair Value books. - Designing and implementing the framework to assess the observability, accuracy and uncertainty of market data used as input in valuation activities, as well as monitoring and analysing the results from these assessments and propose different market data sources when required. - Development, implementation and roll-out of IPV & Valuation Adjustment models (such as market price uncertainty, close-out costs, concentrated positions, future administrative costs, etc), as well as ensuring appropriate model risk management for these models, in line with internal and regulatory requirements. - Development, implementation and roll-out of other fair valuation related activities, such as Fair Value Hierarchy, Day One P&L or new product initiatives where valuation modelling requirements/implications should be addressed and followed up. To succeed in the delivery of these workstreams, you will need: - Flexibility in the way and scope of working, as all workstreams in the Valuation Program are strongly interrelated and scope prioritizations might change based on delivery deadlines and other dependencies. - 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 regulators, auditors 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. - Ensure operational excellence of valuation processes, maximising automation possibilities to provide a robust and compliant operational valuation framework, including delivering IT specifications to implement strategic solutions. Department Overview The role is part of the Financial Risk/Trading Risk Management (TRM) department. The department comprises a large team of market risk, product control, valuation and counterparty credit risk managers & analysts, with expertise in the risk management of financial markets. Team Overview The vacancy is in the TRM/Centralization, Valuation & Product Control team which, amongst others, is the centre of expertise for valuation and product control topics within the bank. 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. The team is currently being extended with the intention to deliver the ‘Valuation Program’. After (or in parallel to) the delivery of the program, the team will become responsible for the BAU management of the newly designed processes/activities. Career Potential The position offers excellent opportunities to excel in what you do and to broaden your Market Risk and Valuation skills, as well as exposure to a dynamic and agile international working environment across the bank, with a strong focus on Financial Markets and products, but also exposed to other areas with fair value books. Candidate Profile Qualifications/Education University degree in Finance/Economics/Econometrics or other science subjects. Experience/Knowledge • 4 years+ of experience in Finance on one (or more) of the Valuation workstreams described above. Preferably with an understanding of IFRS Fair Value requirements and Prudent Valuation regulation. • Understanding the valuation and risks of financial markets products, preferably with experience in one or more business lines (Equity, FX, Credits, Interest Rates, Commodities, XVA). • Experience handling large datasets for analysis purposes and proficient Excel usage. Preferably with some programming experience using SQL, Python and/or VBA. • Experience in documenting & implementing methodology/modelling requirements in both tactical and strategic IT solutions. • Ability to engage and manage expectations of senior management and key stakeholders in large complex programs. Personal Competencies • Constructive attitude and pro-active team player. Flexible in the scope to be covered to ensure successful ‘team delivery’ over individual priorities. • Delivery focus considering agreed timelines, ‘can do’ mentality, positive attitude, and eagerness to learn and get outside your comfort area. • Critical thinking and strong analytical skills. • Flexible, independent, and creative with focus on delivering pragmatic and feasible solutions. • Strong organisational and escalation skills in a fluid and continuously changing environment. • Good stakeholder management. • Excellent English-language communication skills, both verbal and written.