VP - Exotic Valuations & Modelling (Relocation available)

  • $HK 80,000 - 100,000 per month
  • Hong Kong Hong Kong Hong Kong HK
  • Permanent, Full time
  • Eames Consulting Hong Kong , EA Licence No: 16S8091
  • 17 Jul 18 2018-07-17

My client is one of the worlds leading investment banks

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

  • 9 years of Financial Modeling experience or equivalent
  • 9+ 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