Quantitative Analyst CIB Finance Valuations at Absa Group Limited (Absa)

Job Summary

• 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)