Valuations Methodology – Credit Products

Quantitative Finance & Risk
2nd June 2017
Job Type
£55,000 - £67,000


My client, a leading Investment Bank, are looking for someone to be responsible for the execution, analysis, governance, and reporting of the firm’s key valuation controls, including Independent Price Verification (IPV), Fair Value Adjustments (FVA) and Prudential Valuation Adjustment (PVA), which are governed through the Valuation Committee and associated sub committees.

Key Responsibilities:

  • Independent price verification, oversight of fair value adjustments, calculation of prudential valuation adjustments and escalation of valuation issues
  • Reporting results and conclusions to management with recommended actions
  • Analysis of valuation models & market data as part of the price verification process
  • Oversight and analysis of provision methodologies and oversight of product observability review processes across regions
  • Performance of the monthly IPV, PVA (prudential valuation adjustment) and FVA calculations for FI Credit Flow Business
  • Provide Valuation analysis and consolidation of price testing information for Finance, Management and the Valuation Committee and associated Sub Committees including Audit and regulator objectives via the production of the monthly Price Testing pack and relevant meetings
  • Support to the Front Office, Product Controllers and Management
  • Production of monthly MI data for presentation with adequate due diligence for accuracy


  • 2:1 degree or equivalent at undergrad level in mathematical / scientific discipline from top-tier University
  • Good understanding of credit instruments pricing with a particular focus credit derivatives (CDS, Index CDS) but also cash securities (Bonds & Loans)
  • Strong communication skills and the ability to present and discuss complex issues with counterparts from Trading, Finance, Market Risk and other areas.
  • Ability to clearly present arguments and defend views under challenge from others
  • Previous experience in a control environment (Line product control or valuation control)
  • Excellent Excel, VBA, Word skills including use of macros to build reporting and analysis tools

If you require any more information please contact Lewis Clarke: or 0203 705 9353

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