Job Description

Apply Req ID: Req1302394 Date posted 04/09/2024

Executive Director - IPV, Market Risk - Corporate & Investment Banking (CIB)

New York, United States of America

Position Summary:

The Executive Director Market Risk IPV specialist is responsible for supporting the end-to-end Fair Valuation processes of the Market Risk area, ensuring that all US-owned risk factors are defined and configured in the valuation systems in accordance with best market practices and standards, and that their observability is correctly recorded and reported. The specialist runs the IPV process to certify that market data inputs and prices used in official valuations are aligned with the respective market conditions, which includes assets received as collateral; and produces Market Price Uncertainty (MPU) and Close-out-Cost (CoC) metrics for Fair & Additional Valuation Adjustment (FVAs & AVAs) reports, based on IPV statistical measures. The specialist oversees the daily levelling reports for the trading activity and guarantees the adequate identification and treatment of Level 3 assets.

Primary duties and responsibilities:

* Perform bi-weekly IPV to contrast market data inputs and prices used in official valuation vs alternative market sources (including collateral valuations).

* Analyze, review and control alternative price sources used in IPV to ensure input consistency.

* Perform bi-weekly FVA calculations and quarterly AVA calculations and certify accuracy and adequacy of results.

* Identify inconsistencies in IPV/FVA/AVA and liaise with stakeholders to resolve/escalate the issue.

* Support the design & implementation of new risk factors to ensure adequate observability and consistency with market practices.

* Daily review of levelling reports, to identify Level 3 assets and ensure Day-1 P&L provisioning with P&L team.

* Monitor, maintain and generate reports on risk factor observability and asset levelling from internal systems/tools.

* Oversee and ensure the development and implementation of short-term projects.

* Organize and implement upgrades in risk system with the support teams and Methodology.

* Monitor and manage risk/exposure and compliance with the company's policies.

Experience:

* Extensive knowledge of market products and obtaining inputs for valuation and market information systems (Bloomberg, Reuters, ICE, Markit, etc.).

* Experience in the calculation of Fair & Additional Valuation Adjustments (FVAs & AVAs) under Market Price Uncertainty (MPU) and Close-out-Cost (CoC) concepts.

* Development of analysis tools and prototypes to support activities (mainly in Python or VBA).

* Experience in valuation of financial products and/or market risk management (FX, Rates, Bonds, Equities, Credit, Convertibles, etc).

* Experience with IPV, Observability or Levelling processes is a plus.

Education:

* Bachelor's degree (or equivalent) in Economics, Mathematics, Physics, Engineering, or a related field.

* Master's in Financial Mathematics, Financial Engineering, Data Science or related field is a plus.

Skills & Knowledge:

* Knowledge in market data and financial products.

* Strong Excel and Python skills are a must. Excel VBA is a plus.

* Strong numerical skills.

* Strong understanding of statistical analysis & techniques, especially in relation to outlier detection and data clustering.

* Knowledge in external vendor tools as Murex & Bloomberg is a plus.

* Knowledge in Spanish is a plus.

* Knowledge of Fair Valuation regulation such as IFRS-13 is a plus.

Diversity & EEO Statements:

At Santander, we value and respect differences in our workforce and strive to increase the diversity of our teams. We actively encourage everyone to apply.

Santander is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, genetics, disability, age, veteran status or any other characteristic protected by law.

Working Conditions:

Frequent Minimal physical effort such as sitting, standing and walking. Occasional moving and lifting equipment and furniture is required to support onsite and offsite meeting setup and teardown. Physically capable of lifting up to fifty pounds, able to bend, kneel, climb ladders.

Employer Rights:

This job description does not list all of the job duties of the job. You may be asked by your supervisors or managers to perform other duties. You may be evaluated in part based upon your performance of the tasks listed in this job description. The employer has the right to revise this job description at any time. This job description is not a contract for employment and either you or the employer may terminate at any time for any reason.

Bachelor of Science (BS) English

Primary Location: New York, NY, Madison Ave Corp

Other Locations: New York-New York

Organization: Banco Santander S.A.

The base pay range for this position is posted below and represents the annualized salary range. For hourly positions (non-exempt), the annual range is based on a 40-hour work week. The exact compensation may vary based on skills, experience, training, licensure and certifications and location.

Salary: $180,000 - $250,000/year

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