Overview
Market Risk Management
Description
Responsibilities
- Validate pricing and risk models with independently constructed models, with initial focus on Potential future exposure (PFE) and Counter Party Credit Risk models.
- Liaise with front office and risk on results and produce detailed validation reports.
- Take ownership of some of the team’s internal initiatives and projects. Contribute to the various bank wide projects that require quantitative technical expertise.
Competencies
- Around 3 years of experience in a relevant function as quantitative analyst or researcher.
- Experience in quantitative finance, especially validating pricing and risk models and/or developing models is essential.
- Advanced degree in technical disciplines such as engineering, mathematics or quantitative finance, etc
- Analytical skills and knowledge of mathematical models and methods in stochastic calculus, Monte Carlo simulation and PDE modelling.
- Experience with at least one programming language is essential. In particular, C#, C++, Python are a plus.
- Experience with Counter Party Credit Risk or Potential future exposure (PFE) are a plus.
Qualifications
Qualifications:
- Strong communication skills, candidate must be able to communicate complex ideas and concepts into simple and easy to understand terms.
- Ability to relate to people and build rapport to gain the respect of subordinates and peers.
- Good interpersonal skills and ability to build and maintain professional relationships.
Primary Location
: Singapore
Job
: Market Risk
Organization
: Market Risk Management
Schedule
: Permanent
Job Posting
: 10-Apr-2025, 2:15:29 PM
About OCBC Bank
OCBC is the longest established Singapore bank, formed in 1932 from the merger of three local banks, the oldest of which was founded in 1912. It is now the second largest financial services group in Southeast Asia by assets and one of the world’s most highly-rated banks, with an Aa1 rating from Moody’s. Recognised for its financial strength and stability, OCBC is consistently ranked among the World’s Top 50 Safest Banks by Global Finance and has been named Best Managed Bank in Singapore by The Asian Banker.
OCBC and its subsidiaries offer a broad array of commercial banking, specialist financial and wealth management services, ranging from consumer, corporate, investment, private and transaction banking to treasury, insurance, asset management and stockbroking services.
OCBC’s key markets are Singapore, Malaysia, Indonesia and Greater China. It has more than 570 branches and representative offices in 19 countries and regions. These include about 300 branches and offices in Indonesia under subsidiary Bank OCBC NISP, and over 90 branches and offices in Mainland China, Hong Kong SAR and Macau SAR under OCBC Wing Hang.
OCBC’s private banking services are provided by its wholly-owned subsidiary Bank of Singapore, which operates on a unique open-architecture product platform to source for the best-in-class products to meet its clients’ goals.
OCBC's insurance subsidiary, Great Eastern Holdings, is the oldest and most established life insurance group in Singapore and Malaysia. Its asset management subsidiary, Lion Global Investors, is one of the largest private sector asset management companies in Southeast Asia.
