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Corporate Controllers – VCG Rates – Vice President

Req #: 170096260
Location: Tokyo, 13, JP
Job Category: Corporate Staff
Job Description:
Our business
The Valuation Control Group (VCG) has Firmwide ownership of the policies for Independent Price Testing and Valuation Adjustments for all traded Instruments, to ensure that the Firm’s risk positions on the Books and Records reflect Fair Market Value. In this respect VCG:
  • Tests all market prices independently, typically using consensus data (Totem) or brokers
  • Agrees Fair Value Adjustments, to bring a mid price to “exit value”, to reflect illiquidity or uncertainty around the mid price
  • Reviews Approximately Loaded trades in conjunction with Middle Office and Model Review
  • Escalates Valuation Issues to Senior Business and Finance stakeholders
  • Defines trade classification levels for external disclosure
 
Primary Responsibilities
  • Work with Front Office, Market Risk, Product Control, Business Management, Quantitative Research and Model Risk, Governance and Review Group on agenda in valuation control.
  • Development and implementation of product valuation standards and valuation adjustment methodologies
  • Liaise with CFO, IB-Control and Corporate Accounting Policy to ensure proper valuation treatment as defined by accounting policies (multi-GAAP)
  • Perform review and analysis on the reasonableness of valuation models and model parameters
  • Engineering of price verification and valuation adjustment models
  • Conduct periodic price verification and provision calculations
  • Perform high level P&L analysis and P&L substantiation in terms of risk positions and market movements
  • Perform valuation assessments and statistical analysis to determine the appropriate level of valuation adjustments
  • Sustain a robust and consistent valuation control framework
  • Participate in new product and business initiatives
  • Active participation in model review and model implementation
  • Produce monthly valuation summary and communicate with the Business, Product Control and CFO
Job Requirements
 
Essential skills/requirements:
  • Minimum 5 yrs of relevant experience (e.g. Market Risk, Valuation Control or Product Control). Good technical understanding of interest rate and credit products.
  • Control focus
  • Good quantitative and analytical skills.
  • Good communication skills. Effective in managing relationships
  • Strong team player
  • Strong leadership skills
  • Results orientated with attention for the detail
  • Strong desktop skills and proficient understanding of Excel and Visual Basic
  • People management
  • Ability to manage senior stakeholders interaction
Preferred skills:
  • Front Office trading experience
  • Accounting qualification
  • In-depth technical knowledge of interest rate and credit products
Education:
  • Preferably advanced quantitative degree (e.g. Mathematics, Financial Engineering or Finance).
Language requirements:   
  • Fluent English and Japanese is a plus
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