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Group Treasury Valuation Controller

Eingestellt von Michael Bailey Associates - Zurich

Gesuchte Skills: Vba, Controller


The perfect candidate will gain exposure to valuation issues and methodologies of both linear products (swaps, bonds, etc) and option products.

The role will mainly responsible for valuation control for the Group Treasury portfolios.

Key Responsibilities:

- Develop and enhance Independent Price Verification.
- Review of Offshore team production and analysis.
- Adhoc projects (Regulatory reporting, process improvements) Testing of trader input prices and parameter levels against externally observed levels on IR and FX derivative products.
- Assessment and generation of certain reserves required in the overall Fair Value process (Bid-Offer, model reserves, Day1 Reserves)
- The role requires extensive liaison with Market Risk/Quantitative Risk and Front Office Traders and Offshore team
- Reporting of IPV and Reserves to desk and to central Finance reporting team.
- Continuous improvement of methodology and results generation platform and approach.
- Review and building curves for valuation of Interest Rate Products and price sourcing for Bonds. An understanding of long dated bond valuation methodology would be useful.
- Review of valuation methodologies in the Short term interest Rate environment

Group Objectives to be Managed:

- Develop and enhance Provision management, documentation, reporting and analysis.
- Contribute to developing an integrated Parameter Control and Risk/P&L framework.
- Drive the development and implementation of Reserving methodologies for complex market instruments.
- Development of reserving policy framework for vanilla and non-vanilla trade types. This includes redefining the current valuation review methodologies and procedures, and increasingly adding value to the critical analysis performed.
- Identification of valuation parameters or instrument types that require particular attention with critical analysis of the risks involved.
- Obtaining relevant valuation and risk model parameter information (from Front Office/Quant Group) and implementing value added solutions to identified problems.

The ideal candidate will combine the following skill sets:

- Masters equivalent in a finance related subject desirable
- Desired strong mathematical/analytical ability. Familiarity with derivative and interest rate instruments (Fixed Income options, FRAs, MM, OIS, structured products).
- Computing skills including Excel, VBA, Microsoft Access.
- Familiarity with database architecture, development of functional requirements desirable.
- Understanding of methodologies for managing traded risk.
- Experience and understanding of, interest rate products and bonds valuation a must.
- CFA/FRM an advantage
- Good English skills are required

Michael Bailey International is acting as an Employment Business in relation to this vacancy.


  • Vertragsart:


  • Berufserfahrung:

    Keine Angabe

Geforderte Qualifikationen

  • Kategorie:

    IT Entwicklung, Organisation/Management

  • Skills:

    vba, controller

Michael Bailey Associates - Zurich