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Assistant Vice President, Country & Credit Risk Management - Counterparty Credit Risk Analytics in Singapore at UOB Group

Date Posted: 6/26/2018

Job Snapshot

Job Description

Functional area: Risk Management
Employment type: Full-time
Job Type: Permanent

This is a quantitative role which focuses on the modelling of counterparty credit risk exposure and working with IT to implement exposure methodology in the counterparty credit risk measurement & monitoring system. This role will work closely with front office to advise credit risk on a transactional basis for complex/structured products will also perform product risk assessment as part of the new product approval process. This role is part of the Counterparty Credit Risk team which is responsible for modelling, measurement & management of counterparty credit risk for the entire Group.
 
Key responsibilities
  • Develop & enhance simulation-based counterparty credit risk models for calculating Potential Future Exposure (PFE) for derivatives portfolio covering:
    • Rates, FX, Commodity, Credit & Equity
    • Securities Financing Transactions (e.g. Repo/Reverse Repos)
  • Perform product risk assessment for new derivative/structured product approval
  • Advising the front office on the credit risk for new complex derivative transactions on a time-critical basis
  • Maintain & enhance risk-based pricing calculator for OTC derivative transactions
  • Liaise with IT & external vendor to implement risk methodology in counterparty credit risk measurement & monitoring system
  • Oversee and drive oversight and delivery of projects
Requirements
  • Masters or PhD in a quantitative field (e.g. Quantitative Finance, Financial Engineering, Mathematics, Physics) 
  • Experience with quantitative model development/validation for counterparty risk, market risk or derivative pricing
  • Good knowledge of traded products and thorough understanding of quantitative concepts relating to counterparty credit exposure, historical real-world calibration, Monte Carlo simulation & derivative pricing
  • Familiarity with Basel regulatory requirements (e.g. SA-CCR, CVA risk) is a plus