VP/AVP, Specialist, Traded Credit Risk Methods, Risk Management Group

Recruiter
DBS Bank Limited
Location
Singapore, Singapore
Salary
Competitive
Posted
07 Oct 2022
Closes
21 Oct 2022
Ref
17219353
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Business Function

Traded Credit Risk Methods (TCRM) is responsible for establishing and maintaining a robust measurement and reporting process for Counterparty Credit Risk measurement of traded products for internal credit risk, customer credit risk and regulatory credit risk. The scope covers credit exposure from traded products arising from Investment Bank, Private and Consumer businesses within DBS. This role is to assist the department in carrying out analysis of traded products and related counterparty risk computation that are used to calculate Credit RWA/ROAE including XVAs.

Responsibilities
  • To work with the TCRM and other teams to deliver on the Key Accountabilities:
    • Developing and implementing risk infrastructure related to Traded Credit Risk Methods for all products in relevant bank-wide systems, and maintaining robust data control and reporting processes.
    • Staying updated on changing regulatory (local regulators and BASEL)/ industry/market and counterparty concentration landscape to develop and implement functional CCR and Traded Risk measurement including XVAs.
    • Work with other teams in RMG, RMG - Credit, RMG - READ, Finance, ITT and T&M for process integration and knowledge sharing.
  • Supporting superiors in RMG - CR and the team in discharging his functions to the team heads/department heads.
  • Building and maintaining good working relationships with peers, primarily:
    • Other team leaders in RMG
    • RMG - Credit
    • RMG - READ
    • Treasury
    • ITT
    • Finance
    • Audit
  • And external parties:
    • Regulators
    • System Vendors
Requirements
  • Minimum Qualification is Master's degree in quantitative field with programming skills.
  • Preferred qualification includes 5-6 years of pricing and risk experience, strong programming skills including in business intelligence tools
  • Experience in Murex, MLC and/or other equivalent system for pricing/counterparty level attributes.
  • Expertise in Python/Java/C#/C++, BI tools & technology to develop a functional and scalable infrastructure that sustains in depth analysis and overall management reporting.
  • Knowledge of financial traded market products including structured products in terms of pricing/risk/PFE of the product/market and related exposure impact for the counterparty/XVAs.
  • Ability to understand concerns of, and respond to various stakeholders i.e. RMG-CR, Front Office Desk/Traders, TCRM, MLR, Finance, T&M Ops, RMG - READ, BMS, Audit etc.
  • Working experience ideally in an area covering traded products and/or counterparty risk and infrastructure.
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We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.
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