About the role
This job offer concerns a position within the Bangalore VAL team. The collaborator will actively participate to the production of various deliverables related to IPV, RP and Prudent Valuations Adjustment. This includes:
1.Performing various IPV production tasks such as submission to consensus provider, implying market parameters, valuation certification.
2.Providing commentary and analysis on major drivers for IPV at desk level.
3.Parameter cartographies: sourcing of the market parameters used in valuation, preparation of input files required for running the cartographies, run of cartography production process.
4.IPV reports: participation to the collection and control of data, production of the reports.
5.Consensus process: insertion of consensus-obtained levels in the referential system, pricing of products using consensus levels…
6.RP computations
7.RP analysis (analytical review)
8.Calibration of bid/ask spreads for accounting reserves
9.Calibration of uncertainty, close out cost and concentration spreads for prudent valuation adjustment (PVA)
10.Interacting with Front Office teams to handle their queries on the Valuation Adjustments.
11.Exploring new data sets of information to enhance the coverage of the validations and calibrations. Suggesting new validation and calibration strategies
The collaborator will actively participate to various works that aim at upgrading production framework, tools, and processes. Candidate will be required to work on Python/VBA scripts to achieve these objectives.
The Valuation Group (VAL), within the Finance Department dedicated to GBIS (DFIN/MAR/VAL), is a worldwide team whose core mission statement is to ensure that valuations reflected in financial statements are in line with normative accounting requirements and industry best practice.
This mission statement translates in various functions and deliverables, which include the following:
·Chair and prepare global and regional Valuation Committees.
·Define and maintain Valuation Policies.
·Centralize Independent Price Verification (IPV) reports and perform IPV on implicit parameters.
·Design, manage and centralize product and parameter valuation cartographies.
·Compute, analyze and report valuation adjustments (Global Valuation Review Committee).
·Design Day One Profit and Level 1/2/3 observability rules.
The core VAL team is located in Paris, but the Valuation Group is also represented in the US and in Asia through the concept of ‘extended team’: the Valuation Group acts as one global team for GBIS market activities worldwide.
The Valuation Group has taken a new step forward in its organization with the deployment of a team in Bangalore: this team mission statement would focus on IPV (Independent Price Verification) and RP (Reserve Policies) but is expected to take on further tasks and responsibilities.
1.Experience in Valuation Control or Risk functions.
2.Has experience in automation of processes and control oriented.
3.Experience in handling multiple queries from different teams like Front Office, Risk, Internal VAL team in regions.
4.Basic knowledge in financial markets
5.IT skills (Python and VBA exposure required)
6.Familiarity with pricing/valuation methodologies of derivative products (Equity, Fixed Income, FX) including Risk analysis and Market parameters overview
7.Strong mathematical/analytical ability
8.The candidate should also feel comfortable with working and interacting in an international environment (daily exchanges with Paris team expected)