- Singapore
- 6+ years
Manage counterparty credit risk arising from the Group’s derivatives portfolio and security financing portfolio, providing analytical support and developing risk models.
Compensation
Competitive base salary. A suite of holistic, flexible benefits to suit every lifestyle.
Responsibilities
- Manage counterparty credit risk (CCR) arising from the Group’s derivatives portfolio, security financing portfolio and provide analytical support to credit approvers and business on transaction flows, and portfolio analysis.
- Support development and maintenance of methodology, models and framework applicable to counterparty pre-settlement risk, settlement risk, concentration risk within derivative portfolio and collateral pool.
- Monitor the Bank’s counterparty credit risk from Global Market portfolios, perform risk analysis at both counterparty level and portfolio level to capture and highlight concentration risk, correlation risk and other non-conventional risks which are not captured in financial models.
- Participate in the implementation and enhancement of CCR risk models within exposure management systems and oversee the end-to-end flow CCR exposure flow to ensure risk exposures are accurately captured and reported, collaborate with other control functions for model validation for compliance with internal and regulatory governance standard.
- Conduct system testing and exposure validation exercises, including investigation of data discrepancies. Prepare and maintain relevant model, methodology and procedure documentation.