R0179867 CRO - Technical Valuation Expert - VP

7 days left

Deutsche Bank
Singapore, Singapore
12k -15k
23 Apr 2022
23 May 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Your key responsibilities:

The primary function of the role is to manage the model, methodology and Day 1 controls within the Valuations Asia-Pacific function. The team partners closely across all the Valuations functions and controls across businesses, asset classes and regions to support technical methodology topics.

The candidate is required to demonstrate deep pricing, modelling, booking and risk comprehension of the products and markets across our businesses with an emphasis on exotic derivative and structured products. In addition, the candidate is expected to lead senior stakeholder engagements and lead project management across a range of technical methodology implementations, and make decisions balancing commercial judgment with a robust valuation risk culture.

Responsibilities of the Role:
  • Implement alternative model methodologies via reserves to address weaknesses in production models including use of alternative models, using alternative model settings and re-calibrating existing models
  • Lead resolution of model usage exceptions across the region, partnering with business, quant, risk and model validation colleagues.
  • Developing, implementing and reviewing valuation methodologies deployed across the valuation control spectrum (including Day 1, model, levelling, reserves, prudential valuation and independent price verification)
  • Analysis of new exotic/structured transactions including dimensions of market data observability, xVA, reserves, model appropriateness and booking appropriateness.
  • Implementing market data observability standards across the dimensions of Day 1 profit recognition, IFRS levelling and independent price verification methodologies. This includes active engagement with Strats to codify our methodologies and rule-sets in current and future systems architecture.
  • Proactively improve methodologies, controls and proce s ses through automation and optimizing Singapore & Mumbai footprint.
  • Liaise with Trading, Finance management, Market Risk Management, internal/external audit and regulators on technical methodology issues both regionally and globally across markets and businesses

Your skills and experience:
  • 10-15 years prior experience and hands-on experience of the pricing, modelling, booking and risk representation of interest rate, fx and credit products, preferably in the Asia-Pacific markets, with an emphasis on exotic derivatives and structured products.
  • Knowledge and hands-on experience in developing and implementing valuation methodologies across the spectrum of new products, Day 1 P&L, pricing model controls, reserving, prudential valuation and independent price verification. Practical experience of Excel-VBA, other coding applications (particularly Python), market data services and banking model pricing libraries desirable.
  • Experience in leading senior stakeholder engagements and leading project management across a range of technical methodology implementations, balancing commercial judgment with a robust valuation risk challenge culture.
  • High level of academic achievement, preferably from a mathematical / statistical / engineering / quant background. Further quantitative education desirable (e.g. Master of Quantitative Finance or equivalent)
  • Ideally the candidate will have 10+ years of experience within the valuation/quant/technical middle office departments of a large investment bank with in-depth technical knowledge across a broad range of markets, products and asset classes
  • Specific exposure to reserving, pricing, risk management and modelling aspects of global markets trading businesses is preferred.
  • The individual should be highly motivated and have demonstrated an ability to work in a team. They should be able to work effectively under pressure, multitask and take a proactive approach to all aspects of the role. They should have an ability to devise creative solutions to issues as they arise while maintaining a strategic perspective. Managing junior staff and providing technical coaching and training across the platform also key requirements of the role.
  • The candidate must be numerate, articulate and confident. Must be able to interact effectively with the trading staff and senior management. Good communication and organizational skills required.
  • Practical experience of Excel-VBA, other coding applications (particularly Python), market data services and banking model libraries desirable.

Role is required to be performed on-site at One Raffles Quay office. Relevant vaccination requirement applies.

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