VP, Product Control – Valuations (Macro & Structured Notes)
Core
Own price testing, reserves, and fair value across the Macro business and the bank's Global Structured Note Issuance Programme, including FX options, Bermudan swaptions, range accruals, and bespoke structured trades.
Role type
VP, Product Control (Valuations)
Builds
Independent price verification (IPV) results, reserve calculations, and fair value hierarchy assessments for the balance sheet.
Domain
Investment Banking, Fixed Income, Derivatives, Structured Notes
Required skills
Independent Price Verification (IPV), valuation reserves, fair value hierarchy, FX derivatives, rates derivatives, structured notes, market data sourcing, process automation, stakeholder communication
Preferred skills
Python, C++, Java, CFA, CA, Masters degree
Technologies
Excel, VBA, Python, C++, Java
Responsibilities
Own the month-end valuation control cycle including IPV, reserve calculations, and stale mark monitoring; Explain IPV results and reserve movements to the desk; Support the Structured Note Issuance Programme; Run pre-trade reserve analysis on new deals; Source market data to back up fair value; Lead automation of IPV and reserve processes.
Seniority
VP, hands-on IC