Job Summary The Valuation Methodology (VM) team is the subject matter expert with respect to the fair valuation of the Bank’s positions in Global Markets and Banking and ensuring the stress prudent regulatory requirements are met.
Main Responsibilities - Set up and maintain the model framework for Global Markets and Banking Valuation Methodology team.
- Collaborate with model validation, model risk governance and VM production teams to ensure that all the models used by VM team are compliant with internal governance and regulatory requirements.
- Provide valuation methodology support including advice on new models, new calibration and potential impact on valuations of different modelling choices.
- Develop and implement the methodologies used in valuation space, for example, Independent Price Verification, Bid Offer reserve, Prudent Valuation Adjustments.
- Design and implement model performance monitoring.
- Perfor...