Analyst, xVA Markets Risk
- Permanent, Full time
- 19 Mar 19
See job description for details
- Role focused on identifying, assessing, and monitoring market risk
- Product coverage includes multi-asset class risks
- Reports to the xVA Market Risk Manager
Role Location: Ocean Financial Centre, Singapore
Role Type: Permanent, Full-time
As the xVA Market Risk Analyst, you will support the xVA Market Risk Manager in identifying, assessing, and monitoring market risk arising from the counterparty exposures of the Firm’s derivatives portfolio. This role will cover multi-asset class risks across the Firm’s xVA with a current focus on CVA (Counterparty valuation Adjustment) and FVA (Funding Valuation Adjustment). As part of the Counterparty Credit Risk (CCR) team, you will be you will actively participate in the development of the CCR platform and help to answer CCR related quesries.
You accountabilities will include but not be limited to:
- Ensuring appropriate understanding of business activities, markets, and the regulatory environment
- Assisting in the set-up of an xVA risk framework and providing an understanding and expertise of underlying xVA risks
- Identifying, capturing, and measuring xVA market risks and collaborating with stakeholders in managing these risks
- Analysing the integrity of xVA Risk Management systems and monitoring limits compliance (including daily reviews, analysis, and reporting)
- Assisting the xVA Market Risk Manager in Counterparty Credit Risk related queries
- Assisting in the preparation of presentations on xVA Risk / Counter Party Credit Risk (CCR) to senior management, auditors, and regulators
- Assisting in the development of Counterparty Credit Risk platforms and Capital methodologies
To be successful in this role, you will ideally bring the following –
- Sound knowledge of derivative products for all asset classes. XVA or Counterparty Credit Risk experience is a plus.
- Experience with internal and external Front Office and Risk systems & processes
- Strong technical skills and high level proficiency in Excel and programming (e.g. in VBA)
- Quantitative orientation coupled with a strong intuition and ability to make judgements based on incomplete data
- Excellent communication skills for written and verbal presentations
- Ability to work under pressure and cope with real-time business demands
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You may apply for this role by visiting ANZ Careers and search for reference number Taleo Job Code SIN006487.
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