VP/AVP, Market and Counterparty Risk Analytics, Market & Liquidity Risk, Risk Management Group VP/AVP, Market and Counterparty Risk Analytics,  …

DBS Bank Limited
à Singapour, Singapore, Singapour
CDI, Plein-temps
Dernière candidature, 03 juil. 20
Competitive
DBS Bank Limited
à Singapour, Singapore, Singapour
CDI, Plein-temps
Dernière candidature, 03 juil. 20
Competitive
VP/AVP, Market and Counterparty Risk Analytics, Market & Liquidity Risk, Risk Management Group
Business Function

Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.

Responsibilities
  • Conduct independent pricing model validation and regular reviews;
  • Assess the appropriateness of model development and specification including the identification of potential model issues and limitations;
  • Develop, perform and document quantitative validation and review reports to exercise effective challenge of pricing models;
  • Communicate validation outcomes to T&M and model users;
  • Develop and review market risk models such as Expected Shortfall and Value-at-Risk;
  • Develop, update and review derivatives counterparty risk exposure models.


Requirements
  • MSc or PhD in a quantitative discipline;
  • Minimum 6 years' working experience in a similar quantitative role, preferably with exposure to pricing models for exotic products;
  • Proven ability to understand a variety of modelling approaches and their strengths & weaknesses;
  • Proficiency using C++/C#/Python in a collaborative development environment;
  • Experience in deriving, implementing, testing and analysing pricing models for valuation and risk sensitivities;
  • Excellent written and interpersonal communication skills.


Apply Now

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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