Independant Valuation Controller at Absa Group Limited (Absa)

Job Description

Accountability: Compliance with Absa Group requirements and accounting policies

• Ensure that implications of Absa Group requirements and policies (including changes in accounting standards) are understood and communicated.
• Ensure any new developments in IFRS/ accounting standards impacting valuations are being implemented.
• Reporting for compliance with key external requirements and with audit requirements
• Ensure compliance with regulatory, accounting and legal requirements.
• Continuously consider risk mitigation and control operational effectiveness
• Identify and review all areas with Material Valuation and Model Risks e.g. mis-marking
• Clearly understand the weaknesses of market data, valuation techniques and models used

Accountability: Valuations Control Core responsibilities

• Calculation and implementation of fair value adjustments of fair value adjustment calculations across all desks or product/asset class (i.e. Rates, FX, Commodities, Equities, Credit)
• Price Testing
• Counterparty credit risk adjustment
• Bid Offer testing
• Day 1 PnL
• Model Risk adjustments,
• Escalate all material issues to the Head of Valuations Control
• Provide technical valuation support to the Front Office, Product Controllers and Senior Management both with Absa.
• Lead identified special Projects and Firm wide initiatives –
• Rollout of CIB model
• Absa Africa Regional Operations
• CSA/OIS discounting framework
• CVA-DVA-FVA
• New product rollout and governance
• Attendance and active participation at the Valuation Governance and Control Committee

The Absa Capital Valuation Governance and Control Committee (VGCC) is a management level reviewing and decision making committee devoted to valuation related matters in Markets. The Valuations Controller Snr is expected to ensure that a detailed Independent Valuation Pack for Each desk with the following information is presented and discussed:

• Monthly Fair Value Adjustments (Price Testing, Bid-Offer and CCRA)
• Review of Outstanding Issues/Action Points from previous VGCCs
• Day 1 P&L Release if any
• Review of Day 1 P&L tracking
• Review of policies, procedures and methodology changes if any
• Provide technical valuation assistance to the product controllers on each desk to ensure that all valuations control requirements are optimally met.
• Initiate and prepare complex trade reviews across various products and desks

Accountability: Interaction with Key Stakeholders –

• Interaction with various areas across the Absa Group in order to obtain an understanding of the impact these areas have on Valuations Control as well as providing both formal reporting as well as ad hoc query resolution to these areas. Areas include:
• Absa CIBW Finance, including Financial Control and Financial Decision Support.
• Absa CIBW Front Office, Market Risk, Quants

Education and Experience Required

• Financial Mathematics or Quantitative Subjects
• Experience in a Financial Services environment, ideally in valuations, market risk, Quants or middle office .
• CA(SA), FRM and CFA candidates are preferred.

Knowledge & Skills:

• Technical expertise: The successful applicant will have responsibility for ensuring the accurate valuation of the most complex products within the trading portfolio, so will need to have highly developed technical knowledge and experience across a wide range of derivatives products.
• Communication: A key part of the role will be escalating, communicating and quantifying items of material valuation risk to senior management, both in finance and in front office. As such the successful applicant will need to have excellent communication skills and be adept at quantifying and communicating valuation and modelling risk in a variety of qualitative and quantitative forms.
• Teamwork: The role will require extensive liaison between a large number of specialist support functions (Market Risk, Credit Risk, Technical Accounting and Product Control) and front office departments. Hence the successful candidate must be adept at liaising and communicating with different departments to ensure that the issues are prioritised and addressed, that a consensus is built and that a solution can be delivered on a timely basis.
• Team Management: The role encompasses a wide range of high priority tasks with competing deadlines, so the successful applicant will need to be adept at project and team management. The right candidate should be able to prioritise multiple high quality solutions and work within time pressured, competing deadlines.
• Financial Mathematics knowledge
• Acute Investment Banking product knowledge
• Understanding of Financial Markets and Derivative instruments
• Understanding of the Valuation of Financial Derivatives e.g. OIS Discounting, CVA-DVA-FVA,
• Discounting of Uncollateralized Derivatives,
• Understanding of IFRS and IAS 39

Education

• Master's Degree: Accounting (Required)