AVP/VP, Macro Analyst/Trader (Derivatives), Global Treasury
is the longest established Singapore bank, formed in 1932 from the merger of three local banks, the oldest of which was founded in 1912. It is now the second largest financial services group in Southeast Asia by assets and one of the world's most highly-rated banks, with an Aa1 rating from Moody's. Recognised for its financial strength and stability, OCBC Bank is consistently ranked among the World's Top 50 Safest Banks by Global Finance and has been named Best Managed Bank in Singapore by The Asian Banker. Division Description
Global Treasury (GT) aims to be the centre of excellence for Asian financial products. Our market dominance is demonstrated by the numerous accolades we have received for product innovation and customer recognition.
The Asset Liability Management dept of GT manages FX and IR risks arising from balance sheet activities and provide analytics on liquidity and funding management with the aim to optimise returns on a risk adjusted basis. The business also enhances management of the Bank's balance sheet with active reserve portfolio management and credit investment portfolio management. Key Responsibilities:
Qualifications The ideal Candidate will meet the following requirements:
- 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
- Analyse and manage XVA risks (such as FX, interest rates, and credit)
- Implement trading overlays for relevant macro risks arising from underlying CVA portfolio
- Provide support for the XVA desk, particularly in the area of quantitative risk analysis
- Work with the team to identify medium term strategies to moderate CVA MTM volatility
- Assist Sales and Trading in the defeasance/mitigation of CVA exposures (through structuring or third party solutions)
- An academic degree preferably in a quantitative field
- Knowledge of coding/programming, e.g. Python, C++, and/or VBA, will be an advantage
- Strong knowledge of financial instruments, in particular derivatives
- Asset allocation risk taking management and/or risk management experience of 3-5 years
At OCBC, we recognise your drive, passion and talent. We will bring out the best in you and empower you to excel. Fulfil your life goals and career ambitions with us.
*We regret that only shortlisted Candidates will be notified.