Analyst, Market Risk Analytics

1 week ago


Singapore MUFG BANK, LTD. Singapore Branch Full time
Roles & Responsibilities

Job responsibilities:

The Analyst role within the market risk management department (Market risk analytics team) will be in charge of performing market risk/counterparty credit risk analysis, monitor market risk activities undertaken by Global Markets (Trading and Treasury), counterparty credit risk activities undertaken by Global Markets (Trading and Sales) and participating UAT in various projects, e.g. Potential Future Exposure project, IRRBB, benchmark/Libor Transition project. The scope of products spans interest rate derivatives (including Interest Rate Options) and FX derivatives (including FX Options).


[Market Risk]

  • Prepare daily, monthly and other periodic risk reports and provide PnL & risk analysis for the bank’s trading and treasury portfolio for branches in Asia and Oceania;
  • Provide analysis of market risk exposures, VaR;
  • Provide market risk stress testing and analysis for branches in Asia and Oceania;
  • Provide market risk KRI monitoring;
  • Provide daily VaR back-testing;
  • Prepare Singapore/Regional ALM/MRM Committee material and provide market risk commentary;
  • Support Manager to conduct risk limit review;
  • Monitor, investigate and report risk limit excesses;
  • Provide Volcker rule metrics reporting and analysis;
  • Monitor Benchmark submissions (SORA) and report to Benchmark Oversight Committee;
  • Perform ad-hoc project UAT in order to improve the processes and operations;
  • Liaise with stakeholders, including Global Markets, Treasury and provide market risk analysis / information;
  • Support Manager to liaise with internal / external auditors to ensure good practices are adopted in the bank;
  • Support Manager to liaise with regulators by providing necessary information/ analysis;
  • Support Manager to ensure compliance with all relevant Group and local policies and procedures, including but not limited to Market Risk policies and procedures;
  • Support Manager to do annual/ad-hoc review of policies and procedures, including but not limited to Market Risk policies and procedures;
  • Liaise with internal stakeholders, including Global Markets, Treasury, Back-office, system division, product office etc;
  • Participate in centralisation and streamlining projects
  • Support regional branch in all Market risk related matters;

[Counterparty Credit Risk & Project Support]

  • To participate UAT for Potential Future Exposure (PFE) project, e.g. run PFE simulation, calibration, backtesting, stress testing and prepare the model document
  • To participate the development and maintenance of technical EUC tools for example IRRBB calculation
  • To participate the development and implementation of Wrong-way risk
  • To participate the implementation of CVA stress testing
  • Support senior staffs/participate in other various projects e.g. Benchmark/Libor transition etc.
  • Support Head Office’s initiatives, middle office systems implementation in Singapore and other regional branches;

Job requirements:

  • Bachelor’s degree in financial engineering, mathematics, statistics, quantitative finance, Data management, economics or in quantitative related fields
  • No prior experience required. Candidates with relevant internship experience may also be considered.
  • Good knowledge of banking and derivatives products
  • Good Experience in using Python, Power Query, Tableau, Excel with VBA skills
  • Good initiative and inter-personal skills, ability to work efficiently in a team and independently.
  • Good communication skills (both verbal & writing) with colleagues in Singapore and regional branch.

We regret to inform that only shortlisted applicants will be notified.


Job ID: 10069534


Tell employers what skills you have

Tableau
UAT
Interest Rate Derivatives
Engineering Mathematics
Streamlining
Market Risk
Derivatives
Middle Office
FX Options
Financial Engineering
VBA
Quantitative Finance
Good Communication Skills
Stress Testing
Credit Risk
Calibration

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