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Job Summary

Valuation Methodology (VM) team is the Subject Matter Expert with respect to the fair valuation of the Bank's positions in Global Markets and Banking, and ensuring the (stress) prudent regulatory requirements are met. The main responsibilities of this role are:
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Set up and maintain the model framework for Global Markets and Banking Valuation Methodology team.
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Collaborate with model validation, model risk governance and VM production teams to ensure that all the models used by VM team are compliant with internal governance and regulatory requirements.
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Provide valuation methodology support including advice on new models, new calibration and potential impact on valuations of different modelling choices.
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Develo...