Loading...
Share this Job
Apply now »
Posting Date:  24-Nov-2019
Location: 

Raffles Place, Singapore, SG

Company:  United Overseas Bank Limited
About UOB

United Overseas Bank Limited (UOB) is a leading bank in Asia with a global network of more than 500 branches and offices in 19 countries and territories in Asia Pacific, Europe and North America. In Asia, we operate through our head office in Singapore and banking subsidiaries in China, Indonesia, Malaysia and Thailand, as well as branches and offices.

Our history spans more than 80 years. Over this time, we have been guided by our values — Honorable, Enterprising, United and Committed. This means we always strive to do what is right, build for the future, work as one team and pursue long-term success. It is how we work, consistently, be it towards the company, our colleagues or our customers.

About the Department

The Credit and Risk Management function is comprised of three teams: Risk Management, Credit and Special Asset Management. We manage the risks arising from the Group’s business activities within the risk appetite established by the Board. This involves identifying and evaluating the risks, developing effective risk governance and strategies as well as providing independent assessment of the overall risk profile.

Job Responsibilities

This is a senior quantitative role which focuses on the modelling of counterparty credit risk exposure and implementation of risk methodology in the counterparty credit risk measurement & monitoring system. This role will work closely with front office to advise credit risk on a transactional basis for complex/structured products will also perform product risk assessment as part of the new product approval process. This role is part of the Counterparty Credit Risk team which is responsible for modelling, measurement & management of counterparty credit risk for the entire Group.

 

  • Develop and monitor performance of simulation-based counterparty credit risk models for calculating Potential Future Exposure (PFE) for derivatives & securities financing transactions
  • Perform product risk assessment for new derivative/structured product approval
  • Advising the front office on the credit risk for new complex derivative transactions on a time-critical basis
  • Work with counterparty credit risk system management team, IT & external vendors to implement risk methodology in counterparty credit risk measurement & monitoring system
  • Oversee and drive implementation and delivery of counterparty credit risk projects

 

Job Requirements
  • Masters or PhD in a quantitative field (e.g. Quantitative Finance, Financial Engineering, Mathematics, Physics) 
  • Experience with quantitative model development/validation for counterparty risk, market risk or derivative pricing
  • Good knowledge of derivative products and thorough understanding of quantitative concepts relating to counterparty credit exposure, historical real-world calibration, Monte Carlo simulation & derivative pricing
  • Strong programming skills especially in MATLAB & Excel VBA
  • Familiarity with Murex trading system and Basel regulatory requirements (e.g. SIMM, SA-CCR & CVA risk) is a plus
Be a part of UOB Family

Apply now and make a difference.

Apply now »