Executive Officer, Traded Credit Exposure My
Malaysia, Malaysia
Job Description
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Key Responsibilities:
- Daily oversight over all aspects of the traded credit risk process which includes monitoring, system maintenance, reporting and providing analytic support to the Credit Risk Management teams. Analytic supports include but not limited to exposure calculation for exotic or complex portfolios, gaps analysis in the monitoring process and the point of reference for all traded credit risk issues by liaising with credit underwriting, businesses, treasury, legal and credit administration.
- Establish and implement internal PSR methodology within the Group and report to external parties (such as BNM) as and when required.
- Assess counterparty pre-settlement risk and other type of credit risk on new business initiatives and products.
- Familiarity with treasury systems and business process, as well as Regulatory and simulation-based counterparty risk methodologies.
- Assess the inherent market and liquidity risks in approved and proposed treasury products. Review and validate collateral haircut for treasury related activities.
- Provide ad-hoc portfolio risk analysis at counterparty level upon request. Scrutinize market risk conditions and perform stress testing of customer portfolios as required.
- Provide advice and support to other countries on implementation of relevant framework to synchronize counterparty risk methodology and framework regionally.
- Understand regulatory requirement on counterparty risk related subjects and prepare reports (MTM, CVA etc) to relevant stakeholders.
- Conduct testing on simulation engine to ensure simulation methodologies and results are accurate and robust.
- Participate in system testing, business continuity testing and ad-hoc projects
- Preferably experienced in quantitative model development/validation for counterparty risk, market risk or derivative pricing is preferred. Fresh graduates are highly encouraged to apply.
- Degree in quantitative field (e.g. Quantitative Finance, Financial Engineering, Financial Mathematic, Actuarial Science/ Statistics , Mathematics , Physics)
- Good knowledge of derivatives, OTC traded products in any asset class.
- Familiar with Basel regulatory requirements. (Eg SA-CCR, CVA risk) will be advantage.
- Strong analytical skills and motivated team player.
- PKMC/FRM/PRM certification or CFA candidates will be an advantage
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Job Detail
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Job IdJD921687
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IndustryNot mentioned
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Total Positions1
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Job Type:Full Time
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Salary:Not mentioned
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Employment StatusPermanent
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Job LocationMalaysia, Malaysia
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EducationNot mentioned