CVA Quantitative Credit Analyst/Trader, GT XVA Management, Global Treasury

Recruiter
OCBC Bank
Location
Singapore, Singapore
Salary
Competitive salary
Posted
22 Feb 2021
Closes
26 Feb 2021
Ref
200000KO
Job role
Treasury
Job Description

Role of desk
  • Front Office function to analyse and manage XVA risks
  • Assist Sales and Trading in the calculation and pricing of XVA charges
  • Optimize customer derivatives portfolios to reduce CVA, CVAR, capital & funding costs

Key responsibilities:
  • Provide support for the XVA desk, particularly in the area of quantitative credit analysis
  • Analyse and manage underlying generic counterparty credit risks for customer derivatives portfolio
  • Assist Sales and Trading in the defeasance/mitigation of CVA exposures through credit enhancements
  • Identify solutions to transfer or transform the CVA credit risk
  • Assess the fundamental and legal economics of counterparty agreements
  • Assist the desk to optimize CVA risks and future regulatory capital charges
  • Work together with Market Risk and TFCA to assessand/or develop CVA pricing models


*LI-VN Qualifications

Requirements

  • An academic degree in a quantitative field
  • Basic coding/programming knowledge, e.g. Python, C++, and/or VBA
  • Relevant knowledge of financial instruments, in particular derivatives and structured credit
  • Experience in quantitative finance and/or credit structuring is required

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