Senior Quantitative Analyst

7 days ago


Singapore Danos Group Full time

**The Role Responsibilities**
Senior Quantitative Analyst to support the CCR model development, implementation, and monitoring process.

**Business**
- Understand counterparty credit risk (CCR), and economic and market environment in which the Group operates.
- Develop counterparty credit risk 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 management functions in the development of effective tools enabling responsive and proactive reviews of the trading book credit risk exposure.

**Processes**
- Support CCR model development, implementation and monitoring processes.
- Support Traded Risk Management activities in improving CCR exposure management.

**Risk Management**
- Provide technical and methodological support to credit risk managers, traders, and other stakeholders in accurate quantification of CCR exposure of new transactions.

**Governance**
- Awareness and understanding of the regulatory framework, in which the Group operates, and the regulatory requirements specific to CCR.

**Regulatory & Business Conduct**
- Display exemplary conduct and live by the Group’s Values and Code of Conduct.
- Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across the bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.

**Key stakeholders**
- Counterparty Credit Risk Models
- Traded Risk Measurement
- Enterprise Risk Analytics
- Traded Risk Management
- Group Model Validation
- Risk Data Quality
- Master or PHD in Financial Mathematics, Statistics, Science, or Engineering.
- Extensive quantitative work experience in a financial institution, preferably in derivatives area and understanding of counterparty credit risk modelling.
- 5+ years of experience with counterparty credit risk modelling and derivatives.

**Role Specific Technical Competencies**
- 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 and self-motivated person with ability to work independently as well as in a team and have the ability to manage multiple initiatives in parallel.



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