XVA Quantitative Analyst, GT XVA Management, Global Treasury XVA Quantitative Analyst, GT XVA Management,  …

OCBC Bank
in Singapore, Singapore, Singapore
Permanent, Full time
Be the first to apply
Competitive
OCBC Bank
in Singapore, Singapore, Singapore
Permanent, Full time
Be the first to apply
Competitive
OCBC Bank
XVA Quantitative Analyst, GT XVA Management, Global Treasury
Role of desk
  • Front Office function to price XVA, optimize and manage associated 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 quantitative support for the XVA desk, in particular risk management
  • Perform analytics on customer derivatives portfolio
  • Assist the desk to optimize XVA risks and future regulatory capital charges
  • Assist in the development of FO XVA pricing models
  • Work together with Market Risk to validate XVA models/methodology

*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
  • Experience in XVA and/or quantitative finance will be an advantage

Close
Loading...