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Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.
Traded Credit Risk Methods (TCRM) is responsible for establishing and maintaining a robust measurement and reporting process for Counterparty Credit Risk measurement of traded products for internal and regulatory credit risk. The scope covers credit exposure from traded products arising from Investment Bank, Private Bank and Consumer businesses within DBS.
This role is to assist the department in carrying out haircut and Initial margin computation for various products to support growth of Private Bank and Consumer Bank.
The key accountabilities are as follows:
Develop methodologies to compute Haircuts for Cash products such as Equity, Bonds, Funds and Structured Products and Initial Margin for Derivatives.
Develop risk infrastructure related to Automation of haircuts and Initial Margin for all products traded in Private and Consumer Bank
Develop methodologies for robust portfolio risk management, with considerations for netting, correlations, concentration etc.
Assist the department in carrying out products and related counterparty risk computation that are used to calculate Credit RWA/ROAE including XVAs
Work with other teams in Private Bank, RMG - Credit, ITT and T&M on new products and integration of methodologies into risk systems.
Bachelor's/Master's degree in a quantitative field with strong programming skills
Working experience of 2 to 6 years; ideally in an area covering traded products and/or counterparty risk.
Expertise in any programming language preferably Python/C# and BI tools to develop a functional and scalable infrastructure to sustain a large volume of products.
Knowledge of financial products including Options and Structured Products in terms of pricing/risk
Ability to communicate with various stakeholders i.e. Relationship Managers, Product Managers, RMG-Credit etc
We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.