VP/SVP Exposure Management | Risk Management | SEA – Singapore recruitment

Responsibilities for Quantitative Counterparty Risk Analyst

• Establishing and maintaining a robust credit risk measurement framework for FX / derivatives and securities financing transactions

• Review of existing methodologies models

• Developing and implementing new models

• Maintaining robust data and control processes, and ensuring governance of the overall framework

Skills Experiences for Quantitative Counterparty Risk Analyst

Has strong knowledge of derivative products and market standards
Solid experiences in modeling and implementation. Experiences in modeling counterparty risk are ideal
Has a broad interest in and familiarity with regulatory requirements, including capital requirements for counterparty risk and guidelines for model performance tests, and industry-wide developments (e.g. central clearing)
Strong knowledge of PFE/PE/PDE calculations

Please send enquiries to qrfsing@selbyjennings.com or call + 65 6808 5600

Keywords: Risk, Quant, Quantitative, Analyst, Exposure, Management, model, PFE, EPE, Counterparty, derivative, structured, transactions

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