This function captures the impact of marking a portfolio to the appropriate credit spread reflecting the fact that all swap counterparties are not LIBOR based borrowers. Responsibilities include review of changes in portfolio’s exposures, independent review of trader pricing, and review of the effectiveness of hedging the embedded credit and market risk. Hedging instruments include cash products, credit derivatives, interest rate derivatives and equities.
This position requires significant interaction with the trading desk due to the dynamic nature of the portfolio, complexity of the price verification process, and need to develop better tools to analyze P&L fluctuations. A key determinant of success will be the ability of the candidate to enhance the control structure and process flows over this developing process.
Role and Responsibilities
- Prepare and undertake analytical review of the daily profit and loss.
- Undertake independent valuation review to ensure complex instruments and strategies marked to market in an appropriate manner.
- Undertake critical reviews of trading activity with the objective of highlighting significant items to senior management.
- Assess the market, valuation and other risk inherent in trading positions.
- Liaise with operations and other divisions within the bank in a problem solving capacity.
- Various month end procedures including preparation of accounts for posting to the general ledger.