Thinking of a Career in Emergency Management?
- BY Nicole Pelette
Duties and Accountabilities:
• WFAVA is looking for highly motivated and dynamic individuals. The job requires client oriented individuals providing proactive, customized and innovative solutions.
• A mix of quantitative and finance experience is required.
Specific tasks of the Valuation Officer include:
• Model validation and verification of structured/exotic bonds and derivatives, covering fixed income, foreign-exchange, commodity and equit
• Validating and verifying models and market data used for curve construction and in fair value reporting
• Performing independent fair value review of debt, loan and derivatives for statutory and management reporting;
• Performing PnL attribution for fair value accounting targeted at market factors such as interest rates, volatilities and FX.
• Carrying out periodic sensitivity analysis to market inputs to facilitate fair value reporting and disclosure.
• Model development and enhancement for sovereign loans credits and guarantees.
• Developing independent price verification tools for financial instruments including structures
• Independently managing various projects and ad-hoc analysis and reporting
• Preparing periodic updates on the robustness of the valuation models
• Carrying out periodic model and curve construction reviews for statutory reporting with extended focus on high risk models.
• Calculating and analyzing the spread between assets and funding for consistency with pricing to enable margin analysis for financial reporting;
• Keeping apprised of developments in fair valuation, accounting and regulatory policy to ensure compliance with accounting standards and best practices.
• Working closely with external audit’s valuation group as well as finance partners to facilitate valuation, fair value policy, implementation and reporting.
• Coaching and mentors junior staff.
• Developing and maintaining industry contacts to remain abreast of best practices.
• Applicants should have 6 or more years of finance experience of which at least 4 years must be direct relevant market experience in a major financial institution in Structuring / Trading / Valuation / Risk management of interest rate and/or foreign exchange derivatives.
• The incumbent is expected to be well versed with the application of valuation models such as HW-1 Factor, Black, HJM and BGM (Libor Market Model).
• Ability to readily discern the robustness of varying modeling approaches for given structures and dominant market-practice is required.
• Past experience with Summit/NumeriX® and/or programming skills with C/C++/Unix is preferred
• An advanced/professional degree or equivalent training in mathematics, finance, engineering or equivalent