XVA Quantitative Analyst, Large Asian Bank
- Front Office function to price XVA, optimise and manage associated risks
- Assist Sales and Trading in the calculation and pricing of XVA charges
- Optimise customer derivatives portfolios to reduce CVA, CVAR, capital & funding costs
- Provide quantitative support for the XVA desk, in particular, risk management
- Perform analytics on customer derivatives portfolio
- Assist the desk to optimise 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
The ideal candidate should have 3-5 years of working experience with basic coding/programming knowledge, e.g. Python, C++, and/or VBA. Possess relevant knowledge of financial instruments, in particular derivatives. Experience in XVA and/or quantitative finance will be an advantage.
Kindly note that only shortlisted candidates will be notified.
Singapore Employment Agency Licence No: 16S8069
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