Lead Expert - MVA

Mission

Within the Market RISQ department, our team (RISQ/RMA/MVA) focuses on the Front-Office valuation models and are in charge of validating market valuation framework of market assets. These assignments are absolutely strategic for the management of the Groupe and its compliance with banking regulations. Our main responsibilities are

• Validate valuation models,

• Validate the adequacy between these models and the payoffs,

• Validate the sources and marking of parameters,

• Validate methodologies of valuation adjustments both on models or on parameters

• Identify and monitor the model risk and valuation risk conducted by the market operation

Role

In this role, the team member will be responsible for running and developing official valuation RISQ processes on all asset classes including:

• Review of Pricing Models and supervision of Ongoing Model monitoring done by LOD1

• Review the Payoff Model adequacy for Exotic derivatives, and independently review the payoff implementation

• Review Parameter Marking Policies, replay the methodologies independently for deep-dives, and supervision of LOD1 Ongoing monitoring

• Review Valuation Reserve policies (Fair value reserves, PVA reserves), replay the methodologies independently for deep-dives, and supervision of LOD1 Ongoing monitoring

• Participate in transversal studies across model inventory management, tiering exercises of Pricing models, Payoffs, Reserve methodology and Source Validations,

• Technical Discussions on Valuation methodologies with various LOD1 and LOD3 teams

• Work with multiple datasets consisting of market data, Risk analysis, stress tests etc, to identify valuation risks

• Contribute to preparing presentations for the top management to be used in several Committees

• Working closely with the IT Quants team within the project to design automation solutions