Manager, FX Valuations, Valuation Product Control

1 month ago

Toronto, Canada Intelliswift Software Full time

Job Title: Manager, FX Valuations, Valuation Product Control

Location: Toronto, ON M5X 1A1 (Hybrid – 2 days/week)

Duration: 12 months

Contract Type: T4

Pay Rate: CA$66.20/Hour


Accountabilities:

In connection with the Commodity and FX derivative trading and underwriting portfolios, the Manager is responsible for ensuring that valuations for these portfolios are materially accurate and where appropriate, that valuation adjustments and regulatory reserves are established. In meeting this objective the Manager will review, assess, and make recommendations with respect to the appropriate use of valuation models, identify official sources of market data used for valuation, and have overall responsibility for independent price verification. In executing these activities the Manager will manage relationships across the organization including the lines of business, Model Validation and Governance, Finance, Back Office, and Accounting Policy.


Role Responsibilities:

  • Develop and implement policies and procedures for independent checking of valuations, escalation of exceptions, and valuation reserves or adjustments for trading and underwriting portfolios.
  • Promote best practices for valuation of trading and underwriting portfolios.
  • Develop, maintain, and improve valuation adjustment policies and procedures in compliance with GAAP/IFRS and regulatory requirements.
  • Develop, maintain, and improve the capital reserves policies
  • Document and maintain methodologies and procedures for valuation adjustments and capital reserve
  • Monitor models to ensure the mathematical representation of the market is sound on an on-going basis. This will involve assessing the performance of models in the markets in which they are used:
  • to better understand model limitations;
  • to quantify the effect of limitations given typical market conditions; and
  • to perform model stress tests, as required, to assess the effect of extreme market conditions on the model’s performance and accuracy
  • Maintain the list of recommended market data sources used for mark to market or mark to model valuation and document changes to market data sources.
  • Create and maintain an inventory of official valuation models used for trading and underwriting portfolios, with related assumptions and limitations.
  • Maintain communication between the lines of business and Model Validation (MV) and Model Governance (MG) regarding the development of new models or changes in the application of existing models, to facilitate the involvement of MV early in the development process. This includes reviewing documentation, testing model assumptions and data requirements prior to the model being vetted, and advising the lines of business and MV of any clear deficiencies.
  • Monitor the use of models for consistency with data requirements and limitations identified by MV, the line of business, and/or VPC and advise the lines of business and other stakeholders if a model is being used under a condition that is contraindicated.
  • Review use of valuation methodologies and models for consistency across the trading and underwriting products and geographical locations and recommend changes as required.
  • Identify, assess, and recommend valuation reserves or adjustments for acceptance by senior line of business and Market Risk executives. Escalate disagreements between lines of business and VPC with respect to valuation reserves or adjustments.
  • Proactively identify and report to EVP & Senior Market Risk Officer and Market Risk Managing Directors, specific positions, exposures or other factors that expose the Bank to unusual, unexpected, inappropriate or otherwise not fully identified or quantified valuation issues and recommend solutions to remedy such issues or exposures.


Must Have Requirements:

  • 4+ years of FX Valuation experience, preferably in a financial institution
  • Market Risk Valuation experience
  • Excellent understanding of Commodity and FX derivative products and markets, as well as the valuation and risk management methodologies associated with these
  • Proven ability to provide strategic direction for major projects and initiatives.


Nice to Haves:

  • Solid understanding of accounting principles, finance accountabilities, and back office processes would be an asset
  • Programming skills VBA & Python
  • Capital Markets background
  • Big 6 bank – dealing with valuation


Soft Skills:

  • Strong analytic and problem solving skills.
  • Solid understanding of accounting principles, finance accountabilities, and back office processes would be an asset.
  • Solid quantitative skills.
  • Strong oral and written communication skills.
  • Strong interpersonal skills and ability to function effectively within a team.
  • Ability to prioritize multiple tasks and consistently meet deadlines while paying attention to details.
  • Ability to manage, coach, and develop subordinates.
  • Good relationship management skills.


Education

  • Bachelor and above - preferred but not limited to Math, Finance

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