Associate Director, Quantitative Analyst (Singapore / China)
Tasks
- Analyze trades and asset origination opportunities
- Calculate and enhance regulatory and internal liquidity metrics for derivatives portfolios
- Develop and maintain SA CVA models and capital calculations
- Develop and maintain analytical solutions for CFD funding and liquidity management
- Develop and maintain models in line with policies and standards
- Ensure compliance with internal and external regulations
- Maintain and develop multi asset liquidity and capital management quantitative library and applications
- Partner with Treasury Finance and Risk to deliver analytics and insights
- Perform structured notes valuation and analytics
- Provide day to day support for CFD desk
- Support forecasting and balance sheet analytics
- Support implementation of group model risk policy
- Support internal controls and procedures documentation
- Support operational risk monitoring through reports and data
Perks/Benefits
- N/A
Skills/Tech-stack
C++ | CFD Valuation | CVA modeling | Capital management | Derivatives Valuation | Funding management | Haskell | Liquidity Management | Liquidity metrics | Model risk | Model risk governance | Numerical Methods | Operational Risk | Operational Risk Monitoring | Probability theory | Regulatory Liquidity Metrics | Risk Modeling | Risk governance | Risk monitoring | Stochastic Calculus | Structured Notes Valuation | Structured notes
Education
Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
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