Stress Testing - Valuations
Core Responsibilities:
Price verification (daily, weekly, monthly) with communication to stakeholders (including the desk)
Calculation of valuation adjustments & reserves and ensuring appropriately reflected in ledger
Enhancement of stress testing methodologies within the FVA space
In depth analysis of stress results in order to identify and explain key drivers and risk identification
Essential Skills
Experienced in price verification of derivatives (Rates, FX and Credit) within Investment Banking
Good understanding of XVA and other FVA adjustments
Strong IT Programming skills; preferably C++, R or SQL
Demonstrable risk identification and management
Ability to communicate with a diverse audience (trading desk, GVG,, middle office & market risk)
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