AVP/VP Finance Analyst, Product Valuations

  • Negotiable
  • Hong Kong Hong Kong Hong Kong HK
  • Permanent, Full time
  • Morgan McKinley Hong Kong
  • 16 Apr 18 2018-04-16

As a global professional recruitment consultancy, Morgan McKinley connects specialist talent with leading employers across multiple industries and disciplines. We have established ourselves as a preferred supplier to many of the major players in our specialist sectors, as well as with thousands of smaller local employers. In Hong Kong, we recruit within the following sectors: Accounting & Finance, Banking and Financial Services, Human Resources, IT, Risk, Compliance, Legal & Audit, Office Support and Sales & Marketing.

Primarily focused on applying independent price testing procedures for securities and derivatives that are fair valued by the front office. Secondary responsibilities may include calculation of liquidity, model and other valuation adjustments as specified in the LOB valuation control procedures. Able to clearly document and communicate results of procedures applied to team members and supervisors within PVG. Product Valuation Analysts possess broad knowledge of financial markets and products with a quantitative background suitable for critically evaluating the results of control procedures applied. Responsible for executing valuation control processes utilizing policies, procedures and supervisors and delegating/managing team of PVA's as appropriate.

We are a cross asset class group however are looking for someone specifically with in-depth knowledge of credit derivatives pricing models and their relative characteristics, and their application to complex structured products covering Bonds, Credit Default Swaps, Quanto Credit Default Swaps, Fixed or Digital Credit Default Swaps, credit default swap index, Nth-to-Default Basket Swap, Correlation Products, Structured Financing trades, Structured Credit Linked Notes, Leverage Credit Linked Notes, etc.

Key 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

*5 years of Financial Modeling experience or equivalent

*5+ years of derivatives valuation and independent price verification experience

*Working knowledge of MS Office applications including VBA, MarkIT, Reuters, Bloomberg.

*Demonstrate ability to interact with personnel at all levels of a Top tier Financial Organization

*Desired University degree in Finance, Engineering, Mathematics or related degree. Post-graduate university degree (MFE or PhD preferred)

*Computer Programming Skills - Python