Avp/vp, Total Portfolio Risk

5 days ago

Singapore GIC Investment Full time

Location:
Singapore, SG

Job Function: Risk and Performance Management

**Job Type**: Permanent

Req ID: 14963

**Risk and Performance Management Department**

The ERP team is responsible for providing an independent and objective view of the investment risk and performance drivers of the total portfolio, across asset classes and strategies.

**Responsibilities**:
Provide quant analysis to inform portfolio construction and risk-taking decisions, and develop performance attributions:

- Develop forward-looking views across a range of asset classes, based on informed views of short-term and long-term trends, market structure, data and quantitative modelling
- Study and provide insights to key risk drivers for the portfolio, in relation to risk premia across factor, risk asset, country/currency dimensions
- Develop and enhance additional risk measures as tools for portfolio construction and risk management, and explore research-centric risk analytics useful for the total portfolio
- Create performance attributions for total portfolio and selected portfolios, to provide insight on performance drivers

Expand, improve and maintain enterprise level stress scenario framework:

- Review and improve the stress testing approach for both historical and forward-looking scenarios in a factor-based, cross-asset, multi-period setting
- Expand on existing suite of risk scenarios to increase awareness of plausible outcomes and portfolio implications
- Risk profile and tailor scenarios for selected portfolios which require in-depth analysis
- Maintain relevance of scenario narratives, review of shocks and smooth running of risk engine computations

**Requirements**:

- Graduate Degree in an analytical, financial and/or technical field such as Economics, Finance, Physics, Math, Statistics, Engineering etc is preferred
- At least 5 years of relevant experience in a quantitative or analytical role. Buy-side exposure will be an advantage.
- Experience in analysing risk factors, and modelling risks such as volatility, tracking error and stress scenarios is preferred. A working knowledge of multi-asset modelling would be assessed favourably.
- Competent in analysing and manipulating time series and panel data, statistical distributions and correlations. Proficiency in a statistical computing environment such as R or Python is helpful.
- Strong communication and presentation skills (written and verbal). Exhibit the ability to explain analytical or quantitative concepts in simple, practical and high impact manner.
- Proactive individual, with high level of self-motivation, highly organized, and able to adhere to tight deadlines.
- Critical to have the ability to sell important ideas and influence outcomes
- Keen attention to detail, strong work ethic, and effective team player in a fast-paced environment.
- Strong ethical compass, demonstrable integrity and a commitment to doing the right thing

**Our PRIME Values**
**Our PRIME Values**
GIC is a values driven organization. GIC’s PRIME Values act as our compass, enabling us to fulfil our fundamental purpose and objectives. It is the foundational bedrock which governs our behaviors, our decision making, and our focus. It informs both our long-term strategy as a firm, and the way we relate to our Client, business partners and employees. PRIME stands for Prudence, Respect, Integrity, Merit and Excellence.

**Job Types**: Full-time, Permanent

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