AVP – PC Valuations

Key responsibilities

• Calibrating yield curves for major currencies and calculating FVA, PVA as a part if the IPV process.
• Calculating IPV for various products across asset classes.
• Working on prudential valuation adjustments, generation of IPV variances, valuation uncertainty, reserves and analysing the results.
• Reporting IPV results to finance management, trading desks and external stakeholders (auditors, regulators), via the production of the monthly IPV reporting pack and communication in relevant meetings.
• Work with peers across PC-Valuation team to help establish best practice guidelines and ensure these guidelines are well-communicated and adhered to.
• Working on creating solutions / improvements to the IPV process. This requires working with the “Change Management” team to enhance specification of technology requirements as well as assisting with testing & managing new releases.