Absa Group Limited (Absa) has forged a new way of getting things done, driven by bravery and passion, with the readiness to realise the possibilities on our continent and beyond.
Facing off with the trading desk, market risk and quants seniors and product control line we require an individual that will be able to demonstrate knowledge /experience of price testing, yield curve analysis / construction, valuation methodology, model validation, middle office, documentation, implementation of processes / procedures, best practices.
An ideal candidate should be familiar with new derivatives pricing techniques like OIS/CSA Aware Discounting and XVA's.
Job Description
Core Responsibilities:
Calculation and implementation of fair value adjustments and calculations across all desks or product/asset class in the Investment Banking Construct (Rates, FX, Commodities, Equities, Credit)
Price Testing
Counterparty credit risk adjustment
Exit price costs testing through Bid Offer testing
Day 1 PnL evaluation in Illiquid markets
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
Curve Construction in an illiquid market framework
CSA/OIS discounting framework
CVA-DVA-FVA
New product rollout and governance
Attendance and active participation at the Valuation Governance and Control Committee
Education
Bachelor`s Degrees and Advanced Diplomas: Business, Commerce and Management Studies (Required)
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