Xva Valuation Controller
5 days ago
will take you further within your career.
- Role Purpose:
The PC Valuations & Analytics Group is part of Global Product Control and undertakes three main activities: Valuations, Global Valuation Reporting & Quantitative Analysis.
The XVA Valuations team supports the Global Markets business and is responsible for Independent Price Verification (IPV), Fair Value Adjustments (FVA) and Prudent Valuation Adjustments (PVA) Globally.
The role is a valuation control role supporting the XVA business from both an EMEA and Global perspective.
The role is in the XVA & Counterparty Exposure Management (CEM) space and will report into XVA Valuations Management.
The role will be responsible for remediating regulatory action points raised by ECB around Prudent Valuation Methodology and drive forward key initiatives to enhance the overall valuation control framework within.
The role will implement methodology and process refinement for the remediation of weaknesses and deficiencies within XVA space and is closely tied to the strategic direction of Valuations and the expanding XVA framework.
The role will recommend best practices, industry standards and strategically aligned solutions based on business needs/requirements across all regulatory elements.
The role will also be responsible for helping to drive and manage key workstreams in the XVA space and contribute to internal projects to migrate to strategic architecture.
Key Responsible
Monitoring and developing remediation plans for model limitations, recommendations and points raised by regulators.
Addressing control gaps, enhancing valuations framework and ensure that the communication is seamless and consistent, including effective challenge where necessary.
Ensuring a robust valuation control framework for XVA fair value and Prudent Valuation;
Developing XVA policy and IPV/FVA methodologies including best practice model documentation;
Ensure Valuation FIM requirements and other applicable accounting / regulatory standards are met. Liaise with Internal/External audit and regulators where necessary.
Maintain focus on process optimization and identify opportunities to enhance cost efficiency where possible (e.g. automation, centralization etc.).
Knowledge and Experience:
Demonstrable track record in global bank/financial institution or relevant organisation.
Experience in complex projects, regulatory deliveries, qualitative business analysis and driving project outcomes.
Knowledge of Markets business & support functions, preferably in Product Control with proven experience of Valuation, Quant or Risk roles.
High level derivative valuation knowledge across asset classes and good knowledge of XVA methodologies.
Good understanding of Prudential Valuation framework including key AVA categories; calculation setup; assumptions involved; and connection with Fair Value framework;
Experience of developing methodology and shaping policy for IPV / FVA/PVAs is an advantage.
Good understanding of accounting requirements for Valuation activity in Global Markets.
Good understanding and appreciation of Regulatory requirements and guidelines for Valuation activity.
Proven experience in a field requiring numerical proficiency.
Proven ability in working across multi-disciplinary and multi-cultural diverse work environments.
Experience of interacting with internal and external stakeholder groups (Business, Risk, Audit, Regulator, Programme Management).
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