Associate Director, Quantitative Analyst (Singapore / China)

Key Responsibilities

• Development and maintenance of SA-CVA models and capital calculations
• Structured notes valuations and analytics across asset-classes
• Calculate and enhance regulatory and internal liquidity metrics for Markets derivative portfolios
• Develop and maintain analytical solutions supporting CFD funding and liquidity management
• Provide day-to-day support for CFD desk and all relevant business units
• Strategy Partner with Global Markets, Treasury, Finance and Risk stakeholders to deliver business solutions and insights
• Support forecasting and balance sheet analytics initiatives across CIB and WRB businesses
• Contribute to the development of quantitative models, tools and methodologies that improve funding, liquidity and capital efficiency
• Business Work closely with Global Markets business teams, analyzing trades and asset origination opportunities for execution and ongoing measurement and management
• Maintain and develop multi assets liquidity/capital management quantitative library and applications
• Use of Haskell and our in-house variant, Mu; C++; Haskell; Processes Ensure adherence to all internal and external regulations
• Support Operational Risk monitoring via reports and data provided to Compliance and BORM
• Awareness and understanding of the regulatory framework in which the Group operates, and the regulatory requirements and expectations relevant to the role

People and Talent

• Strong academic qualifications in a quantitative subject (e.g., Mathematics, Computer science, MFE, Master’s, or PhD)
• Good knowledge of numerical methods, stochastic calculus, and probability theory
• Excellent programming skills (C++ programming and/or functional programming e.g. Haskell)
• Knowledge of funding, liquidity, capital or risk management concepts within financial markets is advantageous
• Strong communication and stakeholder management skills
• Ability to work effectively across business, quantitative and technology teams

Risk Management

• An awareness and understanding of the main risks facing the Group and the role the individual plays in managing them
• Embed Operational Risk monitoring as an integral part of the business process
• Ensure models are developed and maintained in-line with the applicable policies and standards
• Comply with the Operational Risk Framework
• Proactively support the implementation of the Group Model Risk policy
• Responsible for assessing the effectiveness of the Group’s arrangements to deliver effective governance, oversight and controls in the business and, if necessary, oversee changes in these areas

Our Ideal Candidate

• 2 + years of experience in developing/validating financial market pricing/risk models in an international investment bank
• Solid understanding of numerical methods, stochastic calculus, probability theory, and derivative pricing
• Strong programming skills in C++ and/or functional programming languages such as Haskell
• Self-motivated, accountable, and able to communicate effectively with colleagues and stakeholders