Associate/AVP, Risk Modelling and Analytics

  • Attractive
  • Singapore
  • Permanent, Full time
  • GIC Private Limited
  • 19 Nov 17 2017-11-19

The Risk and Performance Management Department is responsible for the independent assessment, measurement, monitoring and reporting of GIC’s market, credit and operational risk profiles. We are looking for a dynamic and self-motivated individual who is interested to join our Risk Solutions team as an Associate / AVP, Risk Modelling and Analytics. This team is responsible for: (i) developing and reviewing risk methodologies across a wide spectrum of asset classes and markets, and (ii) designing and managing the department’s risk infrastructure.

Responsibilities


•Develop and maintain risk models and methodologies in areas including market, counterparty credit and liquidity risk
•Evaluate efficacy of existing risk models and processes to be in line with industry practice and to support new business requirements
•Perform backtesting work and quantification of risks that are not well captured by the risk models  
•Perform user acceptance testing and validation on the implementation of new risk models or model enhancements
•Provide business support in the form of risk impact analysis (e.g. for large deals) and calibration of risk parameters (e.g. tracking error limits)
•Assist the team in projects or ad-hoc work related to the enterprise risk system, which can include functionality review, system upgrade and troubleshooting of erroneous risk numbers 

Requirements
 
•A good degree, preferably MSc, in Engineering, Mathematics, Statistics, Quantitative Finance or related fields of study
•At least 2-3 years of experience in an analytical or quantitative role
•Strong quantitative background, with an ability to solve problems in a mathematically rigorous manner
•Proficient in programming (Matlab, R or Python) and SQL
•Sound knowledge of financial products and markets
•Good team player in a fast-paced environment