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ENO_ PC Line Valuation 163617

Location: Pune
Company: Credit Suisse
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Divisional Description
Product Control are the Financial Guardians of the Bank's trading activities. We are a global function employing around 800 people, present in offices across EMEA, APAC and the Americas. Our crucial role is fulfilled by ensuring complete, accurate and timely P&L, Balance Sheets and analysis. We also conduct the independent validation of the value of our trading portfolios and work with the businesses and the new business product groups to evaluate & integrate new products and businesses into our financial environment in a controlled manner. Product Control also guards the banks trading activities via the provision of reliable and significant financial information provided to the business managers, external business and other relevant internal constituents. Importantly, we also execute controls to detect unauthorized trading or unusual activity and report in a timely manner to senior management.
We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards
Divisional Description - Valuation Risk and Control
Valuation Risk and Control (VRC) is a horizontal valuation service within Product Control, covering products across all divisions. VRC's objective is to identify, analyze and mitigate risks associated with the valuation of the Bank's financial positions. Our core values are integrity, technical leadership and teamwork
VRC are primarily responsible for executing the independent Inventory Valuation control aspects of Product Control's primary role as the financial guardians of the Bank's sales and trading activities
*VRC Controllers provide two core Product Control services
Valuation Governance and Execution: ensuring the independent completeness of inventory valuations and evaluation of valuation models and impacts of new products and businesses
- Valuation Consultation: assure reliable and relevant valuation information is provided to interested parties, including Front Office
Independent Price Verification (IPV)
A key control to ensure trading and banking assets and liabilities are accurately valued. Failure to perform this control will lead to misstatement of the firm's financial documents/statements, risk information and regulatory reporting as well as adversely impacting business decisions. IPV results are raised to Product Control Management, VRG and Front Office ensuring appropriate actions can be taken where differences arise. VC responsibilities also include formulating and conducting independent price verification processes.
Valuation Adjustments
Valuation adjustments are made to ensure the Bank's positions are marked at their appropriate Fair Value in order that the financial-statements are accurate. Fair Value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between participants at the measurement date. Objective of Fair Value measurement is to determine the "Exit Price" for an instrument. VC responsibilities include validating methodology and coordinating with BC for the calculation of valuation adjustments.
Valuation Governance
Management of the model governance process including model usage. Failure to use appropriate models may lead to improper valuation and risk calculations resulting in material misstatement of financial-statements and regulatory reporting. Independent review of IPV and valuation issues at the Independent Valuation Review (IVR) and IPV Meetings. Identification and review of Significant Unobservable Parameters and Prices (SUPP) by the SUPP process.
Job Overview
This is a significant role within VRC Globally. Your input is significant in the 1st and 3rd weeks of the month. The tasks performed by this team cover all the Regions. Your involvement could be in either of Equity Derivatives, Credit or Fixed Income Products.
- Submit trader prices to Consensus Data Providers
- Calibrating the external risk parameters from the consensus data prices
- Perform IPV of all trades, positions and risks within responsibility area by sourcing independent prices and parameters
- Perform IPV in relation to approved IPV methodology documents based on the appropriate frequency; monthly unless specified otherwise
- IPV differences in accordance with the appropriate action ability framework category, and/or unadjusted differences properly recorded in the centralized reporting application
- Seek to ensure that the IPV methodologies and any explanations provided by Traders for unadjusted differences are fully understood and commented according to policy
- Raise non-compliance with pricing procedures or unapproved product types in the portfolio
- Inclusion of any positions with unverifiable prices or model parameters in reports for the Senior Management
- Ensure prices and position sizes of internal trades are price tested and that the marks are compared between books
- Apply Bid/Offer (Exit Risk) adjustments to the value of the instrument to the appropriate bid/offer level that would be realized in normal market conditions. The common risk categories for which a bid/offer determination would be expected are delta, vega, forward, correlation etc.
- Perform price testing including self-review of population, completeness, calculation, and documentation and formula integrity.
- Make sure that exceptions that are identified are followed up with relevant parties and resolved
- Ensure all exceptions and overrides to standard testing procedures are supported by documented requests from global partners
- Perform overall analytical review on impacts and month-on-month movements
- Understand and explain results generated
- Use complex Excel and VBA tools appropriately
- Ensures supervisory feedback is incorporated into results
- Raise P&L impacts > thresholds and exceptional outcomes to AVP / VP / Director
- Provide e-mail confirmation that price testing results have been satisfactorily finalized and request review by a supervisor
- Initiate and implement efficiency improvement projects on a regular basis
- Understand the value of diversity in the workplace and are dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work.
- Degree level education from a Top Tier University
- Qualified Accountant with Premier Firm / MBA
- Preferred experience in Investment Banking in Valuation Risk and Control functions, however this is not necessary.
- Highly numerate with strong analytical skills and ability to define and apply logical approach to issue resolution
- Ability to clearly articulate and present to Management and Partners along with an outstanding attention to detail
- Excellent communication (written, verbal, presentation) skills
- Great teammate with the ability to work closely across locations
- Strong control focused attitude and hands-on approach to investigating issues
- Proficient in Microsoft Excel
- Sound understanding of derivatives and valuation principles
- Outstanding programming skills (e.g. C , VBA, R, Python, although actual language is not important)
- Result oriented, dedicated, hardworking and can work on own initiative whilst also working under pressure to deliver on time with a high level of integrity, sense of urgency, attention to detail and quality standards
Job: *Product Control
Title: ENO_ PC Line Valuation #163617
Location: India-Pune-Pune
Requisition ID: 163617
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