VP, FVA PNL Manager, GMOMO
- Category: no category
- Job Ref: BH180712GMOMO
The FVA MO or Funding Valuation Adjustment Middle Office Team is part of the Global Middle Office (GMO) Team. Funding Valuation Adjustment (FVA) will strive to establish correct trade pricing and risk management ability using CSA driven discount curves and develop or enhance tools to improve operational efficiency of collateral management. The MO team is responsible for supporting the FVA desk and establish appropriate control framework from the trade and market data inputs to the daily valuations.
• FVA Daily P&L Explains and Risk Analysis
• Develop the P&L production capabilities based on FO and MO needs
• Help implement the CSA discounting at LOB MO P&L level
• Help build and daily reports:
• P&L attribution/predicts report for FVA,
• New Business Report,
• Risk reports, and
• Input control reports (including market data, trade data, input overrides, transfer pricing reports, etc).
• Ensure that the P&L and transfer pricing model is implemented
• Communicate daily with FVA FO and control partners within GMG
• Process Improvement
• Identify issues and control gaps on an ongoing basis in the FVA PNL infrastructure
• Work with technology team to streamline the processes and enhance data integrity and control
• Project Management
• Responsible for the quality and timeliness of all project deliverables and well as the implementation of relevant project management practices (status reporting, issue tracking etc).
• In depth product experience & knowledge of financial instruments accounting and transaction lifecycle
Experience / Skills
• Masters Degree in Finance, Economics or Financial Quantitative Analysis
• Managerial experience: Should have managed a cross functional and a team sitting in different locations.
• Excellent communication skills
• Strong technical skills including experience using MS Office, SQL, and Visual Basic
• Strong analytical skills
• Knowledge or experience with trading products in capital markets: Fixed Income, Credit Product, etc. Pricing derivative products like Futures, Options, Indexes, CDS, CDO, FRAs, SWAPs, SWAPTIONs, CAPs/FLOORs. Knowledge of Financial Risk Management: Credit Risk Model, Value at Risk. Knowledge of Interest Rates, Credit spreads, bond pricing, etc.
• Organized, detail oriented & skilled in handling multiple priorities with tight deadlines in a fast-paced environment
Direct: +44 (0)20 7097 8994
Mobile: +44 (0)7968 730 213