- Oct 14, 2022
Morgan McKinley is working in partnership with a Global Bank who is well known for their top tier Investment Banking & Wealth Management services. They are one of the well-recognized tier one houses.
The Singapore team is looking for a VP to join their Credit Risk Analytics team which develops the quantitative methodologies used to measure counterparty credit risk, provides analysis and consultation on credit risk quantification, and participates in global efforts on modelling credit risk exposure on derivatives/financing positions.
Role and responsibiltiies
- To act as a subject matter expert for the counterparty risk models and to support the model users (i.e. local Risk managers) and be a key point of contact with respect to such models.
- To support business/risk managers in terms of pre-trade analysis of structured derivatives transactions.
- To support the risk methodology team in interactions with the local regulators.
- To play a leading role in the risk methodology aspects of Wealth Management business, developing appropriate methodologies to ensure relevant risks are conceptualized, validated and put into practice. This includes developing relevant haircut methodologies and margin requirements.
- To participate in various model development and global regulatory tasks performed by the global methodology team.
- To liaise with local Business, Credit and Model Validation teams to ensure convergence on the methodologies.
- To utilize risk management techniques like backtesting and stress testing to measure efficacy of the methodologies.
- Experience of min 8 years or more in similar role.
- Strong analytical, computing and problem solving skills.
- Good knowledge of financial instruments and the financial markets, including risk and pricing models.
- Strong communication and teamwork skills.
- Master's or PhD degree in a quantitative field.
- Experience in modelling counterparty exposure.
- Experience in programming in Python, C++ or similar.
Only shortlisted candidates will be responded to, therefore if you do not receive a response within 14 days please accept this as notification that you have not been shortlisted.
Morgan McKinley Pte Ltd, EA License No: 11C5502
Lee Boon Hou (Hagen), Registration No: R1870932