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Assistant Vice President, Counterparty Credit Risk Analytics

Keywords / Skills : Assistant Vice President, Counterparty Credit Risk Analytics

Posted: 12th Aug 2017

Banking/ Financial Services
Banking, Insurance & Financial Services
Other BFSI
Masters/ Post Graduate
Posted On
12th Aug 2017
Job Ref code
Job Description
This is a quantitative role which focuses on the modelling of counterparty credit risk exposure and working with IT to implement exposure methodology in the counterparty credit risk measurement & monitoring system. This role will work closely with front office to advise credit risk on a transactional basis for complex/structured products will also perform product risk assessment as part of the new product approval process. This role is part of the Counterparty Credit Risk team which is responsible for modelling, measurement & management of counterparty credit risk for the entire Group.

Key responsibilities
  • Develop & enhance simulation-based counterparty credit risk models for calculating Potential Future Exposure (PFE) for derivatives portfolio covering:
    • Rates, FX, Commodity, Credit & Equity
    • Securities Financing Transactions (e.g. Repo/Reverse Repos)
  • Perform product risk assessment for new derivative/structured product approval
  • Advising the front office on the credit risk for new complex derivative transactions on a time-critical basis
  • Maintain & enhance risk-based pricing calculator for OTC derivative transactions
  • Liaise with IT & external vendor to implement risk methodology in counterparty credit risk measurement & monitoring system
  • Oversee and drive oversight and delivery of projects
  • Masters or PhD in a quantitative field (e.g. Quantitative Finance, Financial Engineering, Mathematics, Physics)
  • Experience with quantitative model development/validation for counterparty risk, market risk or derivative pricing
  • Good knowledge of traded products and thorough understanding of quantitative concepts relating to counterparty credit exposure, historical real-world calibration, Monte Carlo simulation & derivative pricing
  • Familiarity with Basel regulatory requirements (e.g. SA-CCR, CVA risk) is a plus

About Company

United Overseas Bank Limited (UOB) is a leading bank in Asia with a global network of more than 500 offices in 19 countries and territories in Asia Pacific, Western Europe and North America. Since its incorporation in 1935, UOB has grown organically and through a series of strategic acquisitions. In Asia, it operates through its branches and representative offices as well as banking subsidiaries in China, Indonesia, Malaysia, the Philippines, Singapore and Thailand.

UOB plays an active role in the community, focusing on the arts, education and children. For three decades, UOB has organized the prestigious UOB Painting of the Year Competition and Exhibition. In recognition of its contribution to the arts, UOB was conferred the National Arts Council's Distinguished Patron of the Arts Award for the ninth consecutive year in 2013. UOB also encourages its employees across the region to be involved in its regular volunteer activities. This includes the annual UOB Heartbeat Run which is held in Singapore, Malaysia, Indonesia, Thailand and mainland China.
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