Product Valuation Controller -Team Lead (VP3/VP2/ Team Member (AM/AVP)

Product Valuation Group for Group Risk Management - Product Control Unit (PCU)

 

Roles and Responsibilities:

• The Product Valuation Group (PVG) is a centralized analytical and policy setting group within Product Control Unit. The group addresses complex valuation and policy issues across the 4 four Asset Classes: FX/Commodities, Interest Rate, Credit and Equities businesses globally.

 

• Valuation Model Review: PVG is responsible to review models designed to determine the fair value of transactions using complex mathematical models. PVG reviews the models to ensure the appropriateness of model calibration, model inputs, model adjustments and the usage of models.

 

• Valuation Policy: PVG sets valuation policies under the relevant valuation guidelines (including accounting rules) to ensure the appropriateness of product valuations.

 

• Valuation Reporting: PVG is responsible for daily production of P&L reports. Also, PVG prepares a monthly Product Valuation Analysis report (PVA) on the variance of valuation levels between the Front Office and Product Control and fair value adjustments to the valuation. Any sizeable shift in valuations or adjustments to valuations requires investigation as to the reason for the change.

 

• Valuation Adjustments: The valuation of certain transactions may be adjusted to reflect certain model limitations or accounting rules. Such valuation adjustments might include model related adjustments, parameter uncertainty, exit risk, revenue adjustments and accounting adjustments. PVG is responsible for tracking such valuation adjustments and explaining unexpected and significant changes to the numerous trading portfolios.

 

• Valuation Systems: PVG maintains the valuation database (if any) and other valuation systems (FO systems) to facilitate the valuation control process

 

Reporting to:

• Head, PCU

Deliverables:

• Understanding of treasury products, product valuation, financial accounting, front and back office systems.
• Quantitative analysis skills

 

*Only shortlisted candidates will be notified

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