Manager, Market Risk Model Validator, Group Risk Management
Posting Date: 13-Oct-2021
Location: Singapore, SG
Company: United Overseas Bank Limited About UOB
United Overseas Bank Limited (UOB) is a leading bank in Asia with a global network of more than 500 branches and offices in 19 countries and territories in Asia Pacific, Europe and North America. In Asia, we operate through our head office in Singapore and banking subsidiaries in China, Indonesia, Malaysia and Thailand, as well as branches and offices.
Our history spans more than 80 years. Over this time, we have been guided by our values - Honorable, Enterprising, United and Committed. This means we always strive to do what is right, build for the future, work as one team and pursue long-term success. It is how we work, consistently, be it towards the company, our colleagues or our customers. About the Department
The Credit and Risk Management
function is comprised of three teams: Risk Management, Credit and Special Asset Management. We manage the risks arising from the Group's business activities within the risk appetite established by the Board. This involves identifying and evaluating the risks, developing effective risk governance and strategies as well as providing independent assessment of the overall risk profile. Job Responsibilities
- Pricing Model Validation
- Conduct validation of new and existing derivatives pricing models across interest rates, FX, equity, commodity asset classes in trading systems. Main focus will be to analyze theoretical soundness of derivatives pricing models, challenge models key underlying assumptions, verify the accuracy of models calibration, assess the correctness of models
- Independent development and implementation of internal mathematical models for pricing and risk sensitivities computation of derivatives
- Market Risk Model Validation
- Provide quantitative and qualitative assessments of all aspects of market risk related models including theoretical aspects, model design and implementation, data integrity and reliability. These models include VaR and PFE models.
- Demonstrate expertise by participating and keeping pace with the latest developments in academia, regulatory environment, risk technology (vendor and in-house) and financial services industry
- Writing Validation Reports
- Articulate validation findings and Communicate technical ideas to various model owners
- Source of quantitative expertise on derivatives pricing, and technical support to rest of Market Risk teams
Be a part of UOB Family
- Highly numerical degree in Quantitative Finance, Applied/Computational Mathematics, Physics or Statistics with extensive coverage of stochastic calculus, Monte Carlo Simulations, PDE modeling
- Numerical programming skills, VBA, Python, MatLab, and/or C++
UOB is an equal opportunity employer. UOB does not discriminate on the basis of a candidate's age, race, gender, color, religion, sexual orientation, physical or mental disability, or other non-merit factors. All employment decisions at UOB are based on business needs, job requirements and qualifications. If you require any assistance or accommodations to be made for the recruitment process, please inform us when you submit your online application.
Apply now and make a difference.