Credit Quantitative Analyst – Vice President – Asia, Singapore recruitment
Quantitative Credit Risk Senior role (VP)
Location: Singapore
Role: Permanent
Compensation: S$200k circa + bonus/benefits
This global Investment bank is looking for an experienced and talented CVA individual to join their experienced team in Singpaore. To meet business demands and regulatory requirements, a large-scale project is being undertaken to redevelop the methodologies and systems surrounding the modelling, measurement and control of credit risk. The quant team is seeking to hire a quantitative analyst with prior experience. The candidate will be expected to eventually run a team of their own Quantitative Analysts, expected to grow rapidly within the first 18 months.
Responsibilities:
- Day to day responsibilities will involve a close working relationship with the traders, and structurers monitoring of collateralised counterparty valuations and resolving counterparty/client valuation disputes.
- You will be responsible for the maintenance of all Fair Value Adjustments on derivative trades and positions and for product implementation review and the maintenance of Credit Valuation Adjustment. The team will be involved in designing and building a specific platform for which many exposure models can be easily applied.
- Prototypes will be implemented using both C++ and VBA predominantly but also some Java and Matlab.
- These platforms will be implemented across the firm for a number of business functions, so recognition is a fundamental asset to this role.
Specific criteria for ideal candidates:
- Minimum of 5 years experience.
- Prior experience in an investment banking environment (ideally CVA, but front office, or counter-party risk and some product control backgrounds may be acceptable) – in exceptional cases, candidates from a financial consulting environment may be considered.
- Understanding of regulatory environment (Basel II, BIPRU) is advantageous.
- Prerequisite – credit pricing experience + market experience
- PhD/DEA from a top-ranked university in a mathematical based subject (mathematics, physics, engineering).
- Knowledge of counterparty credit risk modelling and measurement methodologies.
- Knowledge of Monte-Carlo techniques, risk factor simulation modelling and derivatives pricing.
- Product knowledge in one or more asset classes (credit IR backgrounds will be at an advantage ).
- Programming ability (Excel/VBA, Matlab, C++/C#).
Due to the nature of the job this candidate will be paid very well, and be offered a generous benefits package.
To apply please contact singapore@selbyjennings.com with CV in word format. Thanks!