Vice President - Counterparty Credit Risk Quant Modeller

  • Competitive
  • Singapore
  • Permanent, Full time
  • United Overseas Bank
  • 28 Sep 16

Vice President - Counterparty Credit Risk Quant Modeller

The counterparty credit risk team is responsible for developing and maintaining models to measure counterparty risk for the entire Group. The team assesses the credit risk treatment for all derivative products traded by the Group and works with IT to implement credit risk exposure computation methodology in the counterparty risk control system for monitoring against approved limits. The team also works closely with the Front Office to provide guidance and advice on the credit risk of new complex derivative transactions on a time-critical basis.

Key responsibilities

  • Developing and implementing counterparty credit risk models as well as monitoring their performance
  • Assessing the credit risk treatment for new derivative products across different asset classes
  • Advising the Front Office on the credit risk for new complex derivative transactions on a time-critical basis
  • Liaising with IT to implement risk methodologies in counterparty risk control system
  • Maintaining and enhancing the bank's risk-based pricing framework for derivatives

Requirements
  • Very strong quantitative financing modelling skills (e.g. derivative pricing, calibration & simulation of stochastic models)
  • Good understanding of derivative products and trading systems
  • Strong programming skills especially in MATLAB & Excel VBA
  • Master or Ph.D in a numerate subject would be a plus but not an absolute requirement