Career Opportunities at Absa Group Limited-(10 Positions)

Job Summary

Suitable candidates are expected to have 4-7 years industry experience having worked their way in a valuations control or middle office role with a top tier Investment Bank. Facing off with the trading desk candidates will need to demonstrate knowledge /experience of Price Testing, Yield Curve Analysis / Construction, Valuation Adjustments, Model Validation, Middle office, Documentation, Implementation of Processes / Procedures, Best Practices. An ideal candidate should be familiar with new derivatives valuation techniques like OIS/CSA Aware Discounting, Credit Valuation Adjustment etc…

Job Description

The overall job purpose is to independently verify the appropriateness of the Fair Valuation of the Trading Positions.

• Decomposing trades into various risk factors, providing alternative valuation methodologies when parameters aren’t
• observable and performing stress testing to quantify uncertainty ranges.
• Reviewing IPV methodology and implementing improvements and efficiencies.
• Reviewing valuation adjustment methodologies for their appropriateness to ensure positions are marked to fair value.
• Inventory valuation and control; which includes supervising the production quarterly disclosures, the reporting of Fair Value

Accountability

• Ensure that implications of Absa Group requirements and policies (including changes in accounting standards) are understood and communicated. Any new developments in IFRS/ accounting standards impacting valuations are being implemented. Review reporting for compliance with key external requirements and with audit requirements

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, XVAs, PVA)
• Price Testing
• XVAs (CVA, FVA, KVA, MVA)
• Bid Offer testing
• Day 1 PnL
• Challenge balance sheet numbers
• Prudential Valuation Adjustments
• Maintain awareness of country specific regulations and pricing realities, as well as ensuring compliance with regulations regarding valuation and reserving; analyse and research relevant products; and stay relevant and up to date with legislations and new development
• Build and maintain professional working relationships with all stakeholders, displaying excellent abilities to initiate dialogue, listen, advise, influence, and negotiate to achieve win win outcomes.
• Preserves relationships despite airing conflicting views and seeks mutual gains when addressing conflicts
• Anticipates consequences and adapts problem solving based on continual feedback
• Act speedily to resolve problems, queries and complaints
• Adapt communication styles to meet the needs of different audiences
• Innovation : Investigate new and better ways to enhance e processes by measuring the effectiveness of all procedures.
• Plan and manage own workflow, anticipating obstacles, juggling priorities and following through on objectives within agreed timeframes and according to quality standards
• Take ownership of personal career development, leveraging formal and informal opportunities
• Continually share, debate and communicate learning's
• Assist with Projects and Firm wide initiatives
• Interaction with Key Stakeholders:
• Interaction with various areas across the Absa in order to obtain and 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 CIB Finance & ARO Finance, including Financial Control and Financial Decision Support.
• Absa CIB & ARO Front Office
• Absa Group

Product Control Line Support

• Provide technical valuation assistance to the product controllers on each desk to ensure that all valuations control requirements are optimally met.

Complex Trade Reviews

• Prepare complex trade reviews across various products and desks

Education And Experience Required

• Qualification in Mathematical Finance or any other quantitative discipline
• Preferably banking experience

Technical Knowledge

• Sound knowledge of financial instruments and the pricing principles underlying these
• Financial modelling
• Proficient in Microsoft Office with advanced Excel
• 5+ years financial services, preferably banking experience

Education

• Bachelor`s Degrees and Advanced Diplomas: Computational and Applied Mathematics (Required)