Head of Valuation Control (Investment Bank)

Key responsibilities

• Serve as the Global Head of Valuation Control, driving the governance agenda, providing constructive challenge to front office traders, and ensuring the absolute accuracy, integrity, and fair valuation of trading and investment portfolios.
• Continuously improve, refine, and update robust Valuation Methodologies and models to align with market best practices; collaborate closely with Model Risk Management to validate models through back-testing, sensitivity analysis, and annual standards reviews.
• Lead regular, comprehensive IPV processes by utilizing advanced market data analytics and external sources to corroborate internal pricing, identify discrepancies, and escalate potential mismarks to frontline supervisors.
• Establish and maintain a robust framework to calculate, review, and document Fair Value Adjustments, including model reserves, liquidity adjustments, and other fair value adjustments, ensuring strict compliance with internal policies and accounting standards.
• Implement conservative Prudent Valuation Adjustment (PVA) frameworks to account for market uncertainties, and develop stressed scenario analysis frameworks to calculate and apply Stressed PVA for extreme market conditions.
• Oversee the classification, regular review, and documentation of financial instruments across the fair value hierarchy (Level 1, Level 2, Level 3) based on input observability, and defend these classifications to auditors and regulators.
• Develop and implement quantitative methods and algorithms in line with regulatory expectations to enhance risk mitigation and business decision-making.