In connection with the Commodity and FX derivative trading and underwriting portfolios, the Manager, with the supervision of the director, is responsible for ensuring that valuations for these portfolios are materially accurate and where appropriate, that valuation adjustments and regulatory reserves are established. In meeting this objective the Manager is primarily responsible for working with the Director to review, assess, and make recommendations with respect to the appropriate use of valuation models, identify official sources of market data used for valuation, and have overall responsibility for independent price verification. In executing these activities the Manager will manage relationships across the organization including the lines of business, Model Validation and Governance, Finance, Back Office, and Accounting Policy
Develop and implement policies and procedures for independent checking of valuations, escalation of exceptions, and valuation reserves or adjustments for trading and underwriting portfolios . Promote best practices for valuation of trading and underwriting portfolios. Develop, maintain, and improve valuation adjustment policies and procedures in compliance with GAAP/IFRS and regulatory requirements. Develop, maintain, and improve the capital reserves policies Document and maintain methodologies and procedures for valuation adjustments and capital reserve Monitor models to ensure the mathematical representation of the market is sound on an on-going basis. This will involve assessing the performance of models in the markets in which they are used:
to better understand model limitation
t o quantify the effect of limitations given typical market conditions; and
to perform model stress tests, as required, to assess the effect of extreme market conditions on the model's performance and accuracy
Maintain the list of recommended market data sources used for mark to market or mark to model valuation and document changes to market data sources. Create and maintain an inventory of official valuation models used for trading and underwriting portfolios, with related assumptions and limitations. Maintain communication between the lines of business and Model Validation (MV) and Model Governance (MG) regarding the development of new models or changes in the application of existing models, to facilitate the involvement of MV early in the development process. This includes reviewing documentation, testing model assumptions and data requirements prior to the model being vetted, and advising the lines of business and MV of any clear deficiencies. Monitor the use of models for consistency with data requirements and limitations identified by MV, the line of business, and/or VPC and advise the lines of business and other stakeholders if a model is being used under a condition that is contraindicated. Review use of valuation methodologies and models for consistency across the trading and underwriting products and geographical locations and recommend changes as required. Identify, assess, and recommend valuation reserves or adjustments for acceptance by senior line of business and Market Risk executives. Escalate disagreements between lines of business and VPC with respect to valuation reserves or adjustments. Be proactive in identifying issues and proposing and implementing solutions. Proactively identify and report to the Director and Managing Director, VPC, specific positions, exposures or other factors that expose the Bank to unusual, unexpected, inappropriate or otherwise not fully identified or quantified valuation issues and recommend solutions to remedy such issues or exposures
3 to 5 years of related work experience, preferably in a financial institution. Excellent understanding of Commodity and FX derivative products and markets, as well as the valuation and risk management methodologies associated with these. Strong analytic and problem solving skills. Solid understanding of accounting principles, finance accountabilities, and back office processes would be an asset. Solid quantitative skills. Strong oral and written communication skills. Strong interpersonal skills and ability to function effectively within a team. Ability to prioritize multiple tasks and consistently meet deadlines while paying attention to details. Graduate degree in business, finance, or a quantitative field would be an asset.
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