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The Risk and Performance Management Department is responsible for the independent assessment, measurement, monitoring and reporting of GIC's market, credit and operational risk profiles.
We are looking for a dynamic and self-motivated individual who is interested to join our Risk Solutions team as an Associate or Assistant Vice President. This team is responsible for: (i) developing and reviewing risk methodologies across a wide spectrum of asset classes and markets, and (ii) designing and managing the department's risk infrastructure.
Review and improve risk models in the areas of market, counterparty credit and liquidity risk
Perform regular stress testing to ensure portfolio compliance with client risk limits
Perform backtesting and benchmarking work, and quantification of risks that are not well captured by the risk models
Provide business support through various activities, including model/system assessments for new product approvals, risk impact analysis for large deals and calibration of risk parameters (e.g. tracking error limits, risk add-on factors)
Support BAU activities in the form of regular review of portfolio risk numbers and trade sensitivities
Participate in projects or ad-hoc work related to enterprise-level risk systems, which include model validation, functionality testing, system enhancements etc.
Work closely with internal risk managers, IT and data teams to resolve modelling issues
A good degree, preferably MSc, in Quantitative Finance, Mathematics, Statistics, or related fields of study
At least 3 years of experience in a quantitative role
Strong knowledge of valuations and risks relating to financial products, including derivatives
Good understanding of Counterparty Credit Risk measures (e.g. Potential Future Exposure, SIMM Initial Margin) will be an advantage
Proficient in programming (Matlab, R or Python) and SQL
Internal Number: 5634816
About GIC Private Limited
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