Seniorr Manager: XVA Frameworks

Location: Sydney CBD, New South Wales
Contract Type: Permanent
Specialisation: Banking & Financial Services
Salary: + Super + Bonus
REF: BBBH9246_1510188483

This is an exceptional opportunity to join a leading bank in a role that is working at the leading edge of what is possible within derivatives valuations and pricing.

The role sits behind the Risk, IPV and Valuations teams to define the valuations modelling framework and XVA methodology

That takes into account all changes in the regulatory enviroment including Basel Committee / APRA edicts, changes to Accounting Policy, etc.

The role is the 2IC to the head of the team of c.6 people and focusses on value adjustments from the perspectives of risk, accounting and regulatory standards. As such, the successful candidate will be highly analytical and strategic in their outlook; ideally coming from a similar instution or consultancy.

The successful candidate will be hungry to learn and develop any knowledge gaps to take advantage of the exceptional career progression opportunities that exist within the bank.

Key Responsibilities Include:

  • Provide accurate, timely and insightful analysis on accounting and regulatory driven valuation adjustments.
  • Provide accurate, timely and insightful analysis on modelling and methodological adjustments.
  • Critically assess quality of valuation adjustments and deliver recommendations for improvement
  • Deliver contributions to projects or drive initiatives in accordance with required timelines
  • Apply skills to deliver insight into consequences for existing valuation framework driven by new regulation/models.
  • Communicate and present complex information to a variety of stakeholders.
  • Assist with New Trade Program and New Product Program, in particular assessment of consequences for valuation adjustments.
  • Become a valuations SME, and continually analyse gaps in our coverage and seek to fill those gaps in order of materiality

Required Skills and Experience:

  • Experience of valuation principles for D1 and D2 Interest Rate, Commodities and FX products
  • Ability to turn theory into practical solutions
  • Understanding of P&L Attribution and risk dynamics
  • Knowledge of XVA Pricing and implications
  • Strong communication and influencing skills