Sr Quantitative Analyst-Counterparty Credit Risk
About Standard Chartered
We are a leading international bank focused on helping people and companies prosper across Asia, Africa and the Middle East.
To us, good performance is about much more than turning a profit. It's about showing how you embody our valued behaviours - do the right thing, better together and never settle - as well as our brand promise, Here for good.
We're committed to promoting equality in the workplace and creating an inclusive and flexible culture - one where everyone can realise their full potential and make a positive contribution to our organisation. This in turn helps us to provide better support to our broad client base.
The Role Responsibilities
The primary focus of the Counterparty Credit Risk (CCR) Quantitative Analyst is the development and support of the counterparty exposure risk models across all asset classes. The main duties include:
- D evelopment and support of Monte Carlo based CCR models,including risk factor modelling, pricing of derivative products, collateral treatment, and margining and aggregation;
- M onitoring of model performance via backtesting, valuation deviation analysis, and other ad hoc analysis;
- Development of processes to comply with new regulatory requirements in the CCR space.
The successful candidate is expected to:
Our Ideal Candidate
- Involve in defining and maintaining counterparty credit risk exposure methodologies and supporting the implementation of a robust risk measurement framework for the purpose of effective risk management and regulatory capital calculation.
- Run and improve the processes designed to monitor model performance, analyze their output and prepare reports for stakeholders.
- Provide technical and methodological support to credit risk managers, traders, and other stakeholders in accurate exposure quantification of new transactions.
- Assist credit risk reporting functions in the development of effective reporting tools enabling responsive and proactive reviews of the trading book credit risk exposure.
Education: Postgraduate degree in Quantitative Finance, Economics, Physics, Mathematics, Engineering.
Experience: The ideal candidate is expected to have a substantial quantitative work experience (about 5 years) in a financial institution, preferably in derivatives area.
- Strong background in financial mathematics (derivatives models, probability theory, stochastic calculus);
- Good understanding of financial markets and traded derivative products;
- Programming in Matlab/VBA/SAS desired;
- Ability to manage multiple initiatives in parallel;
- E xcellent written and interpersonal skills; ability to explain technical topics to a non-technical audience;
- Organized and self-motivated person with ability to work in a team and develop models in time.
Apply now to join the Bank for those with big career ambitions.