BUSINESS AREA

As part of RISK CIB, the general mission of RISK MFI is to provide Senior Management of the Group,
of the RISK Function, of the Business lines (Global Markets and Securities Services) and of the Coverage with full transparency and dynamic analysis and recommendations with respect to the market, liquidity, counterparty, credit, and valuation risks, in order to assist them in their risk decision making.
Within RISK MFI, RISK MFI Platform is responsible to develop a strategic vision of the risk platform of infrastructure and services that support the risk management on Market, Liquidity, Counterparty and Credit risks related to Financial Institutions.
RISK MFI is also involved in the governance of the MCL (Market, Counterparty, Liquidity) Cluster and contributes to its common objectives and vision.
The MCL cluster is the grouping of 5 RISK departments of RISK MFI Platform, RISK Systems (including CPM), SIGMA, SPL and RISK IRC representing the End-to-End value chain for Change The Bank (CTB) and Run The Bank (RTB) activities in an Agile organization.
The teams from these departments are grouped into Tribes or Centers of Expertise (CoE) and organized: a) into squads within a Tribe to contribute to the teams’ deliverables, b) into chapters bringing together communities of skills.

SKILLS, EXPERIENCES AND QUALIFICATIONS

• A proven track-record of successful hands-on experiences in the financial industry in quantitative or data analysis fields.
• Quantitative fundamentals from relevant qualifications are required. A minimum of a Master’s degree from a well-recognised university in Financial Engineering, Maths, Sciences, or a PhD or related discipline is preferred.
• A deep knowledge of Option principles (risk management and trading) derivatives and securities markets for two or more asset classes.
  Demonstrable experience with Python or more advanced coding languages.
  And of course, we expect all our colleagues to embody and practice the Group values (alignment with the Bank’s strategy, commitment, work ethic, integrity and Code of Conduct).

COMPANY PURPOSE:

Our company purpose is to contribute to a responsible and sustainable economy by financing and advising clients according to the highest ethical standards.

Our employer promise is built around three pillars:

• Being a great place to work
• Committed to sustainability and having a positive impact
• Being dedicated to the development of our people

JOB PURPOSE

Fulfil the mission statement of Valuation Risk Tribe by taking ownership of the definition, maintenance, documentation, reference implementation, testing, and release of methodologies used for Valuation adjustments. These cover Independent Price Verification (IPV), Fair Value Reserves, and Prudent Value Adjustments among all asset classes. Contribute to maintaining the right and the related Valuation Input cartographies.
The role provides a unique opportunity to be directly involved in reinforcing the governance, controls and visibility of RISK on all IPV processes while actively participating in strengthening the industrial features of the valuation adjustment platform.

KEY RESPONSIBILITIES

• Lead review of IPV quality and coverage to identify main valuation risks due to untested exposures or exposures tested to less reliable market data.
• Lead enhancement, maintenance, and design of existing or new Valuation Adjustment methodologies to mitigate the identified valuation risks, while ensuring VA methodology documentations are in line with group established documentation guidelines.
• Coordinate the methodology work on IPV, FVR, and PVA methodologies and regularly review the prioritisation of these with stakeholders.
• Provide decision-making analyses and information in discussions about valuation risks with key stakeholders (from Trading, Quant Research, Market Risk Officers and Financial Control).
• Perform the calibration of Valuation Adjustments methodologies at the defined frequency leveraging large data sets of market information.
• Continuously develop and improve a critical opinion about the data set used in the methodologies under responsibilities, exploring and integrating new sources and regularly assessing the quality of the existing set.
• Manage and overview the computation, validation and reporting of monthly & quarterly VAs. Analyse the monthly variations of VAs stocks and communicate them to relevant stakeholders (Trading, Market Risk, Quantitative Research, Finance) across the relevant business lines.
• Lead small projects to improve the efficiency and reliability of the team processes, by developing automated solutions leveraging high industrialization standards, or integrating the methodologies under responsibility into IT platform in close collaboration with IT development and Digital teams.
• Build trustful relationships with key partners in RISK as well as the business. Act as a point of contact for IPV, FVR and PVA topics for main stakeholders.
• Maintain and develop a deep knowledge of the business lines within scope, as well as risk management practices.

ROLES COMPETENCIES

• Effectively deliver and adapt complex messages according to the targeted audience
• Ability to gather, prioritise and integrate large amounts of information, to process and simplify it.
• Ability to lead development of new ideas that add value to the company. Open to using different forms of technology.
• Ability to systematically produce relevant documents with accurate, precise and verified information.
• Aims at exceeding clients’ expectations, by seeking tailored solutions to their specific needs.
• Ability to act in advance of a future situation, to take control and initiatives to implement relevant actions in the short and long term.
• Ability to persuade, influence, convince and engage others to take action or support an issue/objective, while taking into account the goals of the organisation.