Lead Front Office Divisional Strat (VP-Dir)
Truly Excellent Package plus Front Office Bonus
Tier-1 Investment Bank
Observability, IFRS9, FRTB, Analytics, Risk Architecture, Fair Value hierarchy
The Front Office Divisional Strats group at this top-tier Investment Bank works across various functions including Risk & Finance, Sales & Trading, and technology implementing solutions globally. Responsible for cross-business issues such as model risk, trade capture, fair valuation, Day 1 P&L and Level 3 assets, product governance and trading and client controls.
They now seek a Lead Strat for Observability as applied to Levelling, Day 1 reserves and processes such as back-testing for IPV, capture and analysis of traded prices/quotes. Their solutions are re-usable for FRTB. Great potential for role to expand, e.g. into pricing analytics and model risk.
- Analyse requirements for observability from accounting (IFRS) and regulatory (FRTB) texts and convert this to executable tasks and processes.
- Work with Strats and Finance to determine solutions & validate the methodology to decide which processes are better off implemented in upstream technology.
- Work with Strats teams (Core & Desk) and Technology to determine and execute the optimum implementation across Global Markets.
- Assist developing new infrastructure, methodology and data models for front office, risk and finance.
- Directly implement code and devise methodologies to address the valuation issues.
- Take leadership to ensure effective execution of the program.
SKILLS & QUALIFICATIONS:
- 5 to 10 yrs analytic, modelling, pricing and risk management skills
- Strong computing skills using, e.g. Python, Matlab, R, S-Plus, C++, SQL and Oracle
- Strong derivatives knowledge in at least one asset class
- Good understanding of Fair Value hierarchy, from quoted prices in active markets in Level 1 to unobservable inputs in Level 3.
- Strong statistical, quantitative modeling, and knowledge of FRTB
- MSc / PhD in e.g. Finance, Maths, Physics, Computer Science, Econometrics, Stats or Engineering
- Able to communicate effectively across multiple teams and functions