Senior Counterparty Credit Risk Quantitative Analyst

6 days ago


Singapore The Edge Asia Full time

Our client is an international bank with significant business footprints and presence in Asia and they are urgently looking for a senior Specialist Quantitative Analyst in Singapore. The role is to support the Counterparty Credit Risk (CCR) model development, implementation and monitoring process.

Recruiter License Number: R1106582
EA License Number: 16S8131

**Some of the key responsibilities will include**:

- Understand counterparty credit risk (CCR), and economic and market environment in which the Bank operates at Group level.
- Develop counterparty credit risk exposure measurement methodologies and risk assessment tools.
- Come up with processes designed to monitor existing CCR model performance, analyse their output and prepare reports for stakeholders.
- Help credit risk management functions in the development of effective tools enabling responsive and proactive reviews of the trading book credit risk exposure.
- Provide technical and methodological support to credit risk managers, traders, and other stakeholders in accurate quantification of CCR exposure of new transactions
- Keeps abreast and understand the regulatory framework, in which the Group of the Bank operates, and the regulatory requirements specific to CCR.

**To be eligible for this role you will require**:

- Master or PHD in Financial Mathematics, Statistics, Science, or Engineering from a reputable and recognised University
- Strong academic / professional background in financial mathematics (derivatives models, probability theory, stochastic calculus).
- Understanding of financial markets, traded derivative products and counterparty credit risk.
- Strong programming skills.
- Excellent verbal and written communication skills. In particular, the ability to explain technical topics to a non-technical audience.
- Organized, self-motivated, ability to work independently as well as in a team, ability to manage multiple initiatives in parallel.
- Extensive quantitative work experience in a financial institution, preferably in derivatives area and understanding of counterparty credit risk modelling.
- At least 5+ years of experience with counterparty credit risk modelling and derivatives.



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