Vp, Quantitative Modeller

1 week ago


Singapore 3677 Full time

**About UOB**:
United Overseas Bank Limited (UOB) is a leading bank in Asia with a global network of more than 500 branches and offices in 19 countries and territories in Asia Pacific, Europe and North America. In Asia, we operate through our head office in Singapore and banking subsidiaries in China, Indonesia, Malaysia and Thailand, as well as branches and offices.

Our history spans more than 80 years. Over this time, we have been guided by our values — Honorable, Enterprising, United and Committed. This means we always strive to do what is right, build for the future, work as one team and pursue long-term success. It is how we work, consistently, be it towards the company, our colleagues or our customers.

**About the Department**:
The **Credit and Risk Management** function is comprised of three teams: Risk Management, Credit and Special Asset Management. We manage the risks arising from the Group’s business activities within the risk appetite established by the Board. This involves identifying and evaluating the risks, developing effective risk governance and strategies as well as providing independent assessment of the overall risk profile.

**Responsibilities**:
This is role focuses on the quantitative modelling of counterparty credit risk and collaborates with IT to implement quantitative risk methodologies in the counterparty credit risk system. This role will partner 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 and management of counterparty credit risk for the entire UOB Group.
- Develop & enhance Monte Carlo simulation Potential Future Exposure (PFE) models for:

- Rates, FX, Commodity, Credit & Equity
- Securities Financing Transactions (e.g. Repo/Reverse Repos)
- Perform product risk assessment for new derivative/structured product approval
- Advise front office on the credit risk for new complex derivative transactions on a time-critical basis
- Collaborate with IT & external vendor to implement quantitative risk methodologies in counterparty credit risk system

**Job Requirements**:

- Background in a quantitative field (e.g. Quantitative Finance, Financial Engineering, Mathematics, Physics)
- Experience with quantitative model development or validation for counterparty risk, market risk or derivative pricing
- Good knowledge of traded products and thorough understanding of derivative pricing, historical real-world calibration of stochastic models & Monte Carlo simulation of market risk factors
- Familiarity with Basel regulatory requirements (e.g. SA-CCR, IMM, CVA risk) is a plus

**Be a part of UOB Family**:



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