UBS Financial Services Valuation Controller- REM - I (VCS) in Mumbai, India
are you good at pricing and modeling? we are looking for some one who can be responsible for below:
•price test Banks (XVA's) CVA/ DVA/ FVA estimates, and their hedges (credit hedges, interest rate hedges and Fx hedges).
•challenge and improve CVA/FVA reserving policy , challenge internal credit ratings and desk mappings on proxy names, review credit information published internally and externally on significant risk carrying names, entities or issuers
•participate and lead global audit calls with external and internal stakeholders(including senior management) on the upcoming regulatory requirements in the XVA space (Fed/IFRS/PRA mandates)
•challenge desk methodologies in their approach in XVA determination and further participate in regular calls with methodology/quants in enhancing XVA pricing models.
•Review existing methodologies for market data unrertainty calculations and is able to estimate impacts due to recovery rates, spread movements, ratings, other credit parameters and further calculate uncertainty inherent in XVA models. Is able to understand and estimate FVA uncertainty values
•understand and validate valuation differences from the application of different models for pricing CVA, FVA, KVA and MVA. Is able to understand different risks associated with each XVA and explain pricing impacts of collateral and CCP requirements, margins and counterparty netting set changes.
•back-test existing CVA and FVA models using traded evidence and empirical methodologies. Further, should be able to justify the assumptions on various static inputs to models.
•review the firm's counterparty credit risk (CCR) management framework in accordance with industry best practices and current regulatory expectations
What we offer:
Together. That’s how we do things. We offer people around the world a supportive, challenging and diverse working environment. We value your passion and commitment, and reward your performance.
Keen to achieve the work-life agility that you desire? We're open to discussing how this could work for you (and us).
Take the next step:
Are you truly collaborative? Succeeding at UBS means respecting, understanding and trusting colleagues and clients. Challenging others and being challenged in return. Being passionate about what you do. Driving yourself forward, always wanting to do things the right way. Does that sound like you? Then you have the right stuff to join us. Apply now.
Disclaimer / Policy Statements:
UBS is an Equal Opportunity Employer. We respect and seek to empower each individual and support the diverse cultures, perspectives, skills and experiences within our workforce.
The role exists within the Valuation Control Group which is part of Group Finance. The function is responsible for the validation of the final reported valuations of trading products & derivatives through a combination of independent price verification (IPV) and reserving techniques. The function is organized vertically by asset class and also has a Valuation Oversight & Consistency team organized horizontally across all asset classes. The VCG team is spread globally with key centers in India, London, New York, Hong Kong and Singapore, with more than 70% of the team in India
Your experience and skills:
•min5+ years of quantitative modeling / valuations control or experience in related areas noted below in a major trading or investment firm.
•good understanding of financial mathematics including probability theory, interest rates and credit risk modeling
•strong understanding of capital market products including Interest Rate Derivatives, FX, Credit derivatives, Swaps & Swaptions, corp CDS, contingent CDS, Commodity and as well as collateral exposure modeling
•knowledge of XVA modeling
•excellent communication skills (both written and verbal) and a real hands-on ability to analytics
master’s Degree in Financial Engineering or any other quantitative discipline will be preferred
•extremely well organized and detail-oriented.
•strong inter-personal skills in order to interact confidently with Business Unit, Quant group, Finance senior management, and the Credit Risk Department
•ability to multitask, work independently. Willingness and capability to build a solid control environment
Expert advice. Wealth management. Investment banking. Asset management. Retail banking in Switzerland. And all the support functions. That's what we do. And we do it for private and institutional clients as well as corporations around the world.
We are about 60,000 employees in all major financial centers, in almost 900 offices and more than 50 countries. Do you want to be one of us?
Job Reference #: 157617BR
Business Divisions: Corporate Center
Title: Valuation Controller- REM - I (VCS)
Job Type: Full Time
Country / State: India
Function Category: Finance