Snr Ccr Risk Quant

2 weeks ago


Singapore Millar Associates Full time

**Singapore**

**Ref: TRQ-1304**

**Total to $300k SGD + Benefits**

**Top-tier Investment Bank**

**Traded Risk CCR Modelling, Credit Risk, Enterprise Risk Analytics**

This global Investment Bank operates across the world’s most dynamic markets and has a great reputation both as a caring employer and for its state-of-the-art technology. It is now seeking to hire a Senior Quant Analyst for their Traded Risk Group to support the CCR model development, implementation and assist Traded Risk Management in improving CCR exposure management.

**RESPONSIBILITIES**:

- Support the CCR model development, implementation, and monitoring process
- Support Traded Risk Management activities in improving CCR Exposure Management
- Develop CCR exposure measurement methodologies and risk assessment tools
- Develop processes designed to monitor existing CCR model performance, analyse their output and prepare reports for stakeholders
- Assist credit risk in developing effective tools to reviews the trading book credit risk exposure
- Provide technical and methodological support to credit risk managers, traders, and other stakeholders to accurately quantify of CCR exposure of new transactions

**ESSENTIAL SKILLS**:

- Extensive quant experience in derivatives with good understanding of CCR modelling
- 5+ years of experience with counterparty credit risk modelling and derivatives
- Understanding of financial markets, traded derivative products and counterparty credit risk
- Strong programming skills
- Knowledge of CCR Exposure calculations EE, EPE, PFE, etc.
- Good knowledge of numerical methods, stochastic calculus, & probability theory
- Able to communicate complex ideas in a clear manner
- PhD or Masters in a scientific discipline


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