BFC Product Associate (AVP)

Posted 19 May 2019
Salary £55000 - £70000.00 per annum
LocationCity of London
ReferenceBBBH86850_1558346639
Contact NameHarry Brookmyre

Job description

Line of Business: Global Rates - EMEA Structured Rates

The Business Finance & Controls team provides valuation control and analysis, P&L substantiation and balance sheet oversight. This role is supporting the EMEA Structured Rates business, which trades exotic interest rate and FX derivatives. The team works closely with the global valuations group, the trading desk, market risk, legal entity controllers and many other support functions.

What will your key responsibilities include?

  • Valuation control - monthly calculation and analysis of IPV variance, valuation adjustments and Prudent Valuation AVAs, as well as contribution to quarterly disclosures such as FAS157 and CCAR scenario reporting
  • Working with the GVG group to develop valuation control methodologies and practices
  • Maintaining and updating policies and procedures for valuation control processes
  • Assist in the streamlining and enhancement of all BF&C processes and become actively involved with system development ranging from technical enhancements and new product releases to automation of existing processes
  • Participation in the new product reviews
  • P&L commentaries including detailed analysis of material P&L events
  • Review and enhancement of P&L explain calculations and processes
  • Balance sheet commentaries for material movements
  • Engage with the Accounting Policy Group to implement appropriate accounting policies and procedures
  • Taking care of key valuation, accounting, legal entity, regulatory and P&L issues with the business
  • Contributing to governance process, operational error reporting and support of other internal control process, including SOX



What skills and competencies will you ideally possess?

Skills:

  • Good understanding of option pricing and risk and associated models
  • Experience with IPV, PruVal and valuation adjustments (desirable)
  • Understanding of Greeks-based P&L Explain on non-linear portfolios
  • Experience of interest rate or FX products (desirable)
  • Excellent Excel skills with the ability to build VBA macros and understand derivatives pricing functions
  • Demonstrable risk identification, escalation and management
  • Ability to communicate with a diverse audience (trading desk, GVG, product control and market risk)