AVP - Product Control & Governance/Valuation Control - Treasury & CVA
- Singapur, Singapore
- Festanstellung, Vollzeit
- United Overseas Bank
- 22 Nov 17
AVP - Product Control & Governance/Valuation Control - Treasury & CVAThe Valuation Control Team under the division of Product Control &Governance (PCG) is responsible for executing the independent inventory valuation control of the Treasury business and CVA calculation. The oversight and supervision of valuation control responsibilities include formulating and conducting independent price verification processes, model development, calculating financial valuation adjustments, configuring the parameters of models in derivatives trade booking systems, supporting model validation, and contributing to group valuation governance processes in conjunction with other PCG teams, Trading desks and Market Risk Management.
The Key Roles and Responsibilities:
- Run valuation BAU processes using existing pricing library and tools for the derivatives/structuring business which covers all asset classes.
- Participate in developing the pricing library and building a variety of tools to enhance the automation of valuation processes.
- Support margining team to resolve pricing discrepancy with counterparties.
- Perform credit value adjustment calculation of trading books on regular basis by examining the inputs of the calculation, running tools to generate reports and analyzing results.
- Support model validation and help resolve the issues arising from validation with Risk Analytic Division and Business Support Team.
Qualifications and Skills:
- Master degree in financial mathematics or Ph.D. in other quantitative area.
- More than 3 years of experience in financial modelling with strong analytical and quantitative skills
- Excellent knowledge of financial derivatives products, risk and valuation technique.
- Strong IT and Programming skills with VBA, Matlab or C/C++ etc.
- Good team worker with the ability to work independently and organize and prioritize own work/task properly.
- Good communication and interpersonal skills.
- High level of integrity and accountability with a strong sense of urgency and results-orientation.