Valuation Manager, Structured Rates Valuations - Product Control

Job Description

Job Description What is the opportunity? You will be responsible to perform Global Structured Rates IPV (Independent Price Verification) and Valuation Adjustments (VAs) across a wide range of Interest Rates derivatives positions. You will be working with the Trading Desk, Quants, Market Risk, Valuations Methodology and Senior Management to facilitate expanding business by maintaining strong second line control and governance within the CFO Group. This position is full time and will require 4 days in the office. What will you do? Playing a role in in the calculation of IPV and other VAs across a wide range of derivative positions for the Global Structured Rates businesses within RBC Capital Markets. Playing a key role in the production and implementation of methodology for VAs. Playing a key role in the provision of detailed reports and analysis on IPV/VA results to Business Heads, Senior Management, Valuations and Risk committees, Market Risk and Finance. Ensuring that existing VA/IPV processes continue to be aligned and keep pace with the business, Regulator and Accounting Best Practice. Ensuring that all VA/IPV processes are complete and follow RBCs risk policies and procedures. Identification and escalation of appropriate improvements. Ensuring process documentation is up-to-date and adhered to. Ensuring other related valuations responsibilities relevant to Structured Interest Rates are carried out. For example, Levelling, Prudential Valuations (AVA) calculations, and Large Day 1 P&L investigations. Ensuring to follow EUC (End User Computing, e.g., Cluster Seven) practices. Providing subject matter expertise on various valuations related projects and initiatives, as required, including ad hoc management and/or regulatory reviews and new business initiatives. What do you need to succeed? Must-have Strong Technical understanding of derivatives and their valuation, including vanilla and exotic interest rate derivatives. Relevant experience in a Product Control role focusing on Structured Products is an advantage. Experience of calculation of IPV and valuation adjustments. A good understanding of the following financial products and their valuations: interest rates vanilla and exotics derivative products (including interest rate swaps, FRAs, CMS Swaps, CMS Spreads, cap-floor, swaptions, basis swaps, cross currency swaps, callable swaps, and structured products). A developed understanding of P&L calculations for businesses that trade these products; A developed understanding of the purpose of control processes such as IPV and Valuation Adjustments (reserves). Experience of creating or overseeing professional reports, including written commentary, to fixed deadlines and for business and senior management consumption. Ability to communicate and liaise confidently and effectively with junior and senior members of all areas including the business (Front Office), and external vendors, using written and oral methods. Ability to work to tight deadlines in

Required Skills