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The contract role within the market risk management department will be in charge of assisting and performing reporting of PnL and risk data generation and analysis, monitoring market risk activities undertaken by Global Markets (Trading) and Treasury (ALM) and participating UAT in various projects, e.g. benchmark Transition project, DFS Hub Project and FRTB implementation.
The scope of products includes Rates & FX swaps, CCS, Options, and Bonds etc.
The role can be summarized as such.
Market risk team
Provide PnL & risk analysis for the bank's trading and treasury portfolio;
Provide analysis of risk exposures, VaR;
Provide market risk stress testing and analysis;
Provide daily VaR back-testing;
Support to prepare Singapore ALM/MRM Committee material;
Provide Volcker rule metrics reporting and analysis;
Monitor Benchmark submissions (SIBOR & SOR); and
Support Manager to liaise with regulators by providing necessary information/ analysis.
Model risk team
Participate in re-building reporting templates to incorporate DFS evaluation system;
Strive to enhance VBA based Excel reports to facilitate smoother and efficient reporting;
Participate UAT in various ongoing projects such as Benchmark Transition project, DFS Hub Project and FRTB implementation;
Participate in model validation on derivatives pricing model and market risk models.
Bachelor's degree in mathematics / statistics / finance / economics or in a quantitative area is preferred. Candidates without experience or with initial experience are welcome to apply.
Good knowledge of banking and derivatives products.
Good knowledge of Excel with VBA and other Microsoft office application.
Good initiative and inter-personal skills, ability to work efficiently in a team and independently.
Good communication skills (both verbal & writing) with colleagues in Singapore and regional branch.
We regret to inform that only shortlisted applicants will be notified.