You will initially be part of the valuation project and be part of on one of the 5 epics, where the emphasis will be on FVH, Day One P&L and Independent Price Verification (IPV), as the other epics are already supported.
The Fair Value Hierarchy and Day One P&L are, albeit very different projects, also closely bound together by the so called “definition of observability” of the underlying model input.
IPV links closely to valuation, as it is the process that independently establishes whether the inputs that are used in day to day valuation are correct and fit for purpose. This impacts AVA, but also has feeds into the observability of the underlying. The final valuation of a product is a combination of the IPV, IFRS fair value adjustments and regulatory AVA’s.
During the project you will be embedded in the team, where you will take on tasks and processes executed by the department. Once the project has been finished you will continue working in the Global Project team and function as an expert in the valuation framework. In close cooperation one or multiple deliveries will be brought under your ownership and responsibility.
Who we are looking for?
A successful candidate should have strong background in IFRS regulation (IFRS 9,13), the Capital Regulations Requirements (e.g. CRR 105), product knowledge, especially coming from a pricing model/valuation/valuation input/market data input angle, have market knowledge and a background in either finance, working as a risk manager for a trading desk with experience in product control and/or consultant in one of the major accounting firms.
Your work environment
During the project and continuing after the project has finalized, you will be working for the Global Product Control team. The Global Product Control team who is responsible for execution, analysis and advise on:
The GPC team is a team of highly qualified professionals. The team has an open and informal atmosphere. Some key words relating to the work and the team are:
You will work closely with many internal and external parties such as risk managers (globally), finance, senior management, the external accountant and regulators. We work in a dynamic environment, balancing daily and monthly work with increasing demands from the regulators and the internal and external accountants.