Derivatives Valuations Controller

4 weeks ago

Sandton, South Africa Absa Bank Limited Full time

Bring your possibility to life Define your career with us
- With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.Job Summary

Facing off with the trading desk, market risk and quants seniors and product control line we require an individual that will be able to demonstrate knowledge /experience of price testing, yield curve analysis / construction, valuation methodology, model validation, middle office, documentation, implementation of processes / procedures, best practices.

**Job Description**:
Core Responsibilities:

- Calculation and implementation of fair value adjustments and calculations across all desks or product/asset class in the Investment Banking Construct (Rates, FX, Commodities, Equities, Credit)
- Price Testing
- Counterparty credit risk adjustment
- Exit price costs testing through Bid Offer testing
- Day 1 PnL evaluation in Illiquid markets
- Model Risk adjustments
- Escalate all material issues to the Head of Valuations Control
- Provide technical valuation support to the Front Office, Product Controllers and Senior Management both with Absa
- Lead identified special Projects and Firm wide initiatives
- Curve Construction in an illiquid market framework
- CSA/OIS discounting framework
- CVA-DVA-FVA
- New product rollout and governance
- Attendance and active participation at the Valuation Governance and Control Committee

Qualifications and skills:

- Understanding of derivatives markets dynamics and pricing approaches
- Proven experience in Derivatives valuations modeling and pricing.
- Numerical degree+ as a base - Applied Mathematics/ BSC/Quants qualifications
- Strong VBA and Excel skills, Coding proficiency in pricing models (Python, MATLAB)
- Strong analytical skills In-depth knowledge of derivative valuations
- Good stake holder engagement and management
- Understanding of derivatives markets dynamics and pricing approaches
- Team player
- Writing and reporting

Education

Bachelor's Degrees and Advanced Diplomas: Business, Commerce and Management Studies (required)
- Absa Bank Limited reserves the right not to make an appointment to the post as advertised_

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