Senior Valuations Analyst (XVA)

  • HSBC
  • New York City, NY, USA
  • 16 May, 2018
Experienced Hires Advisory Debt / Fixed Income Research / Reporting

Job Description

Responsibilities

  • Production of XVA: CVA, DVA and FVA;
  • PPNR: CCAR/DFAST/GMS XVA impact runs.
  • Risk Not In CVA (RNIC) framework ownership.
  • All IPV, other Fair Value Adjustments and Prudent Valuation balances;
  • All IPV and FVA methodologies and documentation;
  • Monitoring model restrictions and recommendations;
  • Levelling determination of assets and liabilities.
  • Help improve and ensure global consistency of the XVA methodology, processes and governance.
  • Engagement with Fixed Income core Product Control to ensure that the valuation conclusions are accurately reflected in the books and that the communication with the business is seamless and consistent.
  • Keep up to date with any core Product Control production issues.
  • Ensure that the governance and controls of fair value is adhered to. Prepare for and contribute to the valuation committees that opine on fair value for the business areas concerned.
  • Work with Analytics and the Fixed Income individuals from within the Valuations Group plus the Fixed Income Business Lead to identify the need for, and implementation of, fair value adjustments.
  • Ensure Valuation Group FIM requirements and other applicable accounting / regulatory standards are met. Liaise with Internal/External audit and regulators where necessary.
  • Work to ensure consistency in policies/standards across sites/teams and implement strategies to improve consistency where it is not already in place.
  • Identify, communicate and drive resolution of issues; whether people, process or system.
  • Maintain focus on process optimization and identify opportunities to enhance cost efficiency where possible (e.g. automation, outsourcing, centralization etc).
  • Drive standardization and streamlining of processes within the Fixed Income Valuations Group.

Qualifications

  • Bachelor’s Degree. Bachelors/Masters in a quantitative field are preferred. CFA/FRM/CQF are a plus.
  • Extensive market derivative knowledge in all fixed income asset classes: Rates and Flow Credit.
  • Experience of Fixed Income Models and Derivatives Valuation Framework (OIS Discounting /IR Curve constructions).
  • Experience of developing methodology and shaping policy for IPV / FVAs is a distinct advantage.
  • Good understanding of Funding, Liquity and Capital requirements for Global Markets.
  • Good understanding of accounting requirements for Valuation activity in Global Markets.
  • Good understanding and appreciation of Regulatory requirements and guidelines for Valuation activity.
  • Proven ability in working across multi-disciplinary and multi-cultural diverse work environments.
  • Experience of interacting with internal and external stakeholder groups (Business, Risk, Internal and External Audit, Compliance, Regulators).

Skills:

  • Strong Analytical background.
  • Outstanding communication and interpersonal skills, including the ability to articulate key valuation issues to Senior Stakeholders in a non-technical manner