xVA Valuation Controller

4 tygodni temu

Warsaw, Polska NatWest Polska Pełny etat

Join us as an xVA Valuation Controller

  • We're looking for someone to undertake complex financial instrument valuation while reserving issues in xVA area
  • Your daily responsibilities will include assessing and proposing changes to methodologies and compliance statements
  • Develop specialist knowledge in valuation control and your programming skills while supporting project and process improvement initiatives

What you'll do


You'll provide financial instrument valuation, including PruVal, Bid-Offer reserving and other financial reporting in line with business requirements. We'll also expect you to support supervision over delivered reporting. You'll also work proactively with all stakeholders to resolve process issues.

You'll enhance existing valuation control solutions, including reviewing independent pricing processes and tools, assessing potential coverage developments, and implementing new solutions to enhance control efficiency. You'll also identify executed process improvements for key controls.

Day to day, you’ll be:

  • Calculating the fair value of financial instruments, PruVal and supporting supervision over processes delivered by the team
  • Coordinating the resolution of non-standard queries around team-delivered processes, methodologies, additional value adjustments, and bid-offer spreads
  • Partnering with various functional groups on valuation-related issues and your team to deliver complex financial instrument valuations and reporting
  • Preparing and coordinating summary papers for valuation control figures and feasibility studies for valuation control systems while being a business owner
  • Developing and implementing appropriate valuation control tools, including valuation systems, MI reports or end user-developed solutions requiring utilising programming skills
  • Collaborating with management on reviewing and challenging team outputs and providing accurate and timely services for the specific units while validating outputs in line with SLAS

The skills you'll need  

We'll expect you to have a Masters degree in Finance, Economics or Quantitative Methods or adequate senior-level experience in the financial industry. You'll also have good spoken and written English. CFA, FRM, ACCA or CIMA knowledge would be beneficial in this role.

You'll also need an understanding of complex financial instruments and derivatives with a focus on credit valuation adjustment and funding valuation adjustment modelling. You'll also have knowledge of MS Excel, with visual basic automation and database skills being advantageous.

You'll also need:

  • Great time management and the ability to prioritise
  • Good numeracy and problem solving skills
  • To be a good team player with great communication skills
  • The ability to identify and resolve issues with minimum supervision and to prioritise workloads in a pressured environment
  • An understanding of the banking environment

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