CVA Quantitative Credit Analyst/Trader, GT XVA Management, Global Treasury CVA Quantitative Credit Analyst/Trader, GT XVA  …

OCBC Bank
in Singapore
Permanent, Full time
Last application, 26 Nov 20
Competitive
OCBC Bank
in Singapore
Permanent, Full time
Last application, 26 Nov 20
Competitive
OCBC Bank
CVA Quantitative Credit Analyst/Trader, GT XVA Management, Global Treasury
Role of desk
  • Front Office function to analyse and manage XVA risks
  • Assist Sales and Trading in the calculation and pricing of XVA charges
  • Optimize customer derivatives portfolios to reduce CVA, CVAR, capital & funding costs
Key responsibilities:
  • Provide support for the XVA desk, particularly in the area of quantitative credit analysis
  • Analyse and manage underlying generic counterparty credit risks for customer derivatives portfolio
  • Assist Sales and Trading in the defeasance/mitigation of CVA exposures through credit enhancements
  • Identify solutions to transfer or transform the CVA credit risk
  • Assess the fundamental and legal economics of counterparty agreements
  • Assist the desk to optimize CVA risks and future regulatory capital charges
  • Work together with Market Risk and TFCA to assess and/or develop CVA pricing models

*LI-VN

Qualifications
Requirements


  • An academic degree in a quantitative field
  • Basic coding/programming knowledge, e.g. Python, C++, and/or VBA
  • Relevant knowledge of financial instruments, in particular derivatives and structured credit
  • Experience in quantitative finance and/or credit structuring is required

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