GF - Head of APAC Counterparty Risk Valuation and Advisory - SVP GF - Head of APAC Counterparty Risk Valuation and  …

Citi
in Singapore, Singapore, Singapore
Permanent, Full time
Be the first to apply
Competitive
Citi
in Singapore, Singapore, Singapore
Permanent, Full time
Be the first to apply
Competitive
Citi
GF - Head of APAC Counterparty Risk Valuation and Advisory - SVP
The Model/Anlys/Valid Sr Officer I is a strategic professional who closely follows latest trends in own field and adapts them for application within own job and the business. Typically a small number of people within the business that provide the same level of expertise. Excellent communication skills required in order to negotiate internally, often at a senior level. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Accountable for significant direct business results or authoritative advice regarding the operations of the business. Necessitates a degree of responsibility over technical strategy. Primarily affects a sub-function. Responsible for handling staff management issues, including resource management and allocation of work within the team/project.

Responsibilities:

  • Lead APAC regional team to provide support to business and risk managers.
  • Calculate counterparty risk exposure on derivative products across all markets/asset classes.
  • Conduct investigations on PSE related issues as SMEs to internal stakeholders.
  • Perform month end reviews and adjustments for limit monitoring purposes. Present findings in month end review meetings to APAC FIRM head and managers.
  • Work on projects to further global systematic calculation of derivatives' counterparty risk and risk management process.
  • Actively participate in further development of counterparty analytics tools and infrastructure.
  • Develop and validate models for pricing, risk factor simulation and exposure calculation, including writing Model Development Documents.
  • Advise on credit risk mitigation and explain counterparty risks to sales, trading & credit risk management. Provide trainings on methodology and systems.
Qualifications:

Masters/PhD in a quantitative discipline with derivatives math knowledge. 5 to 10 years working experience in a quantitative role in financial/consulting services with good understanding of derivatives' modelling/pricing.
Good communication skill is essential, as the position requires quantifying and explaining risks in an environment that involves fast decision-making.
Knowledge of market risk management techniques is desirable.
Knowledge of Unix and programming (e.g. C++, Python, Perl and SQL etc.).
Knowledge of a wide range of derivative products (FI, equity, commodity, FX, credit).
Education:

Masters/PhD in a quantitative discipline with derivatives math knowledge

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Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - SG ------------------------------------------------------
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