XVA Quantitative Analyst, Large Asian Bank

Job Title: XVA Quantitative Analyst, Large Asian Bank
Contract Type: Permanent
Location: Singapore
Salary: Negotiable
Reference: RJL1009523_1580799964
Contact Name: Gin Choo
Contact Email:
Job Published: February 04, 2020 15:06

Job Description

Function Responsibility

  • Front Office function to price XVA, optimise and manage associated risks
  • Assist Sales and Trading in the calculation and pricing of XVA charges
  • Optimise customer derivatives portfolios to reduce CVA, CVAR, capital & funding costs

Role Responsibility

  • Provide quantitative support for the XVA desk, in particular, risk management
  • Perform analytics on customer derivatives portfolio
  • Assist the desk to optimise XVA risks and future regulatory capital charges
  • Assist in the development of FO XVA pricing models
  • Work together with Market Risk to validate XVA models/methodology

The ideal candidate should have 3-5 years of working experience with basic coding/programming knowledge, e.g. Python, C++, and/or VBA. Possess relevant knowledge of financial instruments, in particular derivatives. Experience in XVA and/or quantitative finance will be an advantage.

Kindly note that only shortlisted candidates will be notified.

Singapore Employment Agency Licence No: 16S8069

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