Market Risk Management : AVP – VP level recruitment
With a strategic focus and significant growth momentum in the region, this bank is a major player in the Asia Pacific markets, providing a full range of banking services to a diverse network of clients across consumer and corporate banking.
This is a critical role at group level.
Responsibilities
- Monitor transactions to assess completeness and accuracy of market risks from a Value-at-Risk perspective;
- Develop business specific stress testing scenarios by studying trading strategies in order to discover hidden risks in the portfolio;
- Identify and initiate projects and processes that aid in improving the measurement and attribution of VaR and other monitoring tools lying within the team’s scope Develop, display and disseminate a thorough understanding of daily position and market changes that impact various risks of the portfolio.
- Work closely with the traders to understand the products and portfolio characteristics of the bank’s Trading Room portfolio; Assess the completeness and accuracy of market risk stress testing arising for trading room activities, identify gaps such as unstressed trading strategies, propose and implement improvements where necessary;
- Implement a process flow to report stress testing results more frequently than the current monthly reporting with analysis outlining changes over the reporting period; Establish processes such as portfolio reconciliation, backfilling of shocks for new instruments and capture of stress VaR required for IMA purposes;
Requirements
- at least 5 years experience in a model development, validation or quantitative role within financial services
- Degree/ Masters
- Excellent written and verbal communication skills
If you would like to apply for this role, please email your resume to Wu Jiamin at jiamin,wu@robertwalters.com.sg quoting Job Reference No. 548540