Market Risk – CVA Analyst recruitment

Market Risk Engineering - CVA Analyst - 6 Months Contract

Market Risk Reporting Analyst - CVA
6 months contract starting ASAP with good chance of a permanent role.
Candidates MUST be in Singapore and be a Singaporean citizen, PR Holder or a PEP Holder.

My Client a leading Global Investment Bank is looking for an Analyst to join its growing Market Risk Engineering team here in Singapore.

The role requires strong numerical skills along with Strong skills in VBA and preferably a good understanding of Risk and VaR and must have excellent communication skills.
Main Function

This role is for the Market Risk reporting for the Traded Credit business, covering Flow Credit, Structured Credit and Securitised Products. It also covers Basel III CVA Risk Reporting (which leverages off existing MRE production processes).

Responsible for the daily Time Series (TS), VaR, Regulatory Reporting and Positions Validation processes for both Market Risk and CVA

Maintain the Specific Risk Model (SRE), ensuring Specific Risk is accurate/complete and that they continue to meet regulatory requirements.  

Main Duties

To undertake daily Time Series BAU and Project work and to assist in the development of new and existing methodologies in the creation of historical time series. For example constructing or using existing statistical and/or time series models for synthetically creating data.

Production and validation of daily VaR for the Global Credit business and CVA.. Project work to develop/enhance new/existing initiatives

Maintaining VaR and Non-VaR limits on trading portfolios

To undertake daily SRE BAU and ad-hoc requests. This includes setting up corporate issuers to risk using Specific Risk methodology, investigating and correcting daily SRE risk failures and producing Regulatory Control reporting

To undertake daily position reporting activities and Project work to develop/modify reports in line with new methodology/business changes

Responsibility for daily time series, VaR and Position Reporting issues, ensuring that problems are overcome by means of effective dialogue with internal and external team members

If you are interested in this role please send your CV in Word Format to Daniel Lotto at daniel.lotto@hays.com.sg