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CVA Quantitative Credit Analyst/Trader, GT XVA Management, Global Treasury
OCBC Bank
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CVA Quantitative Credit Analyst/Trader, GT XVA Management, Global Treasury

OCBC Bank

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Details
Posted:
January 14, 2021
Location:
Singapore, Singapore
Salary:
Open
Type:
Full Time
Role of desk
  • Front Office function to analyse and manage XVA risks
  • Assist Sales and Trading in the calculation and pricing of XVA charges
  • Optimize customer derivatives portfolios to reduce CVA, CVAR, capital & funding costs
Key responsibilities:
  • Provide support for the XVA desk, particularly in the area of quantitative credit analysis
  • Analyse and manage underlying generic counterparty credit risks for customer derivatives portfolio
  • Assist Sales and Trading in the defeasance/mitigation of CVA exposures through credit enhancements
  • Identify solutions to transfer or transform the CVA credit risk
  • Assess the fundamental and legal economics of counterparty agreements
  • Assist the desk to optimize CVA risks and future regulatory capital charges
  • Work together with Market Risk and TFCA to assess and/or develop CVA pricing models

*LI-VN

Qualifications
Requirements


  • An academic degree in a quantitative field
  • Basic coding/programming knowledge, e.g. Python, C++, and/or VBA
  • Relevant knowledge of financial instruments, in particular derivatives and structured credit
  • Experience in quantitative finance and/or credit structuring is required

Internal Number: 9782787
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