Valuation Market Risk Senior Analyst

Purpose and Scope of the role

The position is a Quantitative Methodology Senior Analyst role in the Valuation Adjustments team within RISK Market & Financial Institutions (“RISK MFI”).

RISK MFI provides the Senior Management of the Group, of the RISK Function and of Corporate & Institutional Banking (“CIB”) with full transparency and dynamic analysis and monitoring of market, counterparty, liquidity risks originated and managed by CIB GM and of credit risks on Financial Institutions in order to assist them in their risk decision making and monitoring.

The Valuation Adjustments stream is responsible for the valuation adjustments methodologies on Fair and Prudent value (reserves, methodology corrections and independent price verification) from their design, maintenance, implementation, regular calibration, analysis, monitoring and reporting.

The Valuation Adjustment team works within an Agile framework.

Responsibilities of the Quantitative Methodology Senior Analyst role

• Lead or contribute to the maintenance and design of existing or new methodologies based on (1) knowledge and expertise on the underlying products; and (2) proper quantitative analysis using historical data and simulation.
• Assess the impact of internally or externally driven updates to the methodology set and communicate with the relevant stakeholders (trading, quantitative research, risk managers, risk methodology approvers, audit… ) before release.
• 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 from complex methodologies used for exotics products and communicate them to relevant stakeholders (Trading, Market Risk, Quantitative Research, Finance) across the relevant business lines (Credit, Rates & FX, Equities, Commodities).
• Represent the team in the committees related to Valuation Adjustments
• 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.

Role Competencies

• Ability to gather, prioritise and integrate large amounts of information, to process and simplify it.
• Ability to systematically produce relevant documents with accurate, precise, and verified information.
• Ability to act in advance of a future situation, to take control and initiatives to implement relevant actions in the short and long term.
• Able to identify solutions to overcome obstacles and drive results to conclusion working autonomously and implementing work processes, ideas, and solutions with tenacity.
• Effectively deliver and adapt complex messages according to the targeted audience.
• Value and integrate client’s feedback to improve products, services and processes.

Skills, experience, and qualifications

• Master’s degree in finance, Applied Mathematics, Science or Engineering. Advanced degree or professional certifications like FRM or CFA are a plus.
• 5 years of working experience in a relevant financial market and/or valuation methodology field. A previous experience in Market Risk Management is an advantage.
• On programming skills, a working knowledge of Python would be an advantage.
• An understanding of Financial & Risk management concepts as well as derivatives products is recommended.