VP/ SVP, Structured Credit - Valuations & Modelling (relocation available)

  • $HK 840,000 - 1,080,000
  • Hong Kong
  • Permanent, Full time
  • Eames Consulting Hong Kong , EA Licence No: 16S8091
  • 19 Sep 17

My client is one of the world's leading US bulge bracket investment banks. The APAC team provides valuation and independent price verification support to the APAC Global Markets Businesses

Duties & responsibilities

  • Define the methodology for IPV and associated Liquidity/Model/Deal Specific Valuation Adjustments (VA)
  • Create the standard process via system or spreadsheet on how to execute the methodology in line with compliance requirements
  • Perform reviews and approval of all market data constructions, functions and models used in production to value transactions
  • Review and Challenge the IPV processes conducted by Business Finance and Control (BFC)
  • Review of material new deals and changes to models and market data configurations
  • Assist with implementation of strategic projects, such as key risk management and system enhancements
  • Working closely with Traders, Market Risk Management, Model Risk Management, FO Quants, BFC, senior managers on new product, model development, model sign-off etc.
  • Define Fair Value Hierarchy categorization and justification and create the framework of a given product, risk, or portfolio as appropriate
  • Define Liquidity (covered/non-covered) and create the framework of a given product, risk, or portfolio as appropriate

 

Key Requirements

  • 6 - 10 years of Financial Modeling experience or equivalent
  • 5+ years of credit derivatives valuation and independent price verification experience
  • Working knowledge of MS Office applications including VBA, MarkIT, Reuters, Bloomberg.