• Market Risk Engineering Asia comprises of 3 main teams: VaR production, Desktop Migration & Time Series/BAU Projects. The Department delivers global, multi-asset class solutions to the control, expansion and R&D issues for Risk Management and The Business. All of these come under close scrutiny from Internal Audit and External Regulators.

• The Department focuses its attention to a market risk calculation using the Value at Risk (VaR) approach. The System is a Value at Risk (VaR) calculation engine and is an in-house system known as MARS. Historical Simulation is the model employed. Where the principals of VaR may be intuitive the ways to get there vary in complexity and continually represent a challenge.

• Rising to these challenges and delivering quality end product is our mission; only the most committed of individuals will succeed. The team in Singapore currently consists of 22 individuals from different backgrounds spanning Front Office, Product Control Group, Finance, IT and Risk Management. There is a great opportunity to build substantially on present risk management knowledge both in a theoretical and practical sense. The role has exposure to all areas of the BC risk management process and as such will allow the successful candidate the opportunity to work with senior level mangers and gain an understanding of all the departments’ functions. There are opportunities for exposure to all these internal groups, and others, at all levels.

Main Function

• To develop and implement new and existing business initiatives and investigate potential issues surrounding the daily time series within a number of differing asset classes. New and existing business initiatives are fundamentally project based, therefore on occasions the need to have skills to actively participate in projects sequentially or in parallel with others is of the utmost importance.

• To take responsibility for the daily time series and VaR movement issues, ensuring that concerns raised are efficiently communicated and resolutions are planned and effectively coordinated and actioned.

• To have sufficient competence within the various product ranges and to add value to discussions with the line manager, Risk Manager, Front Office and other external groups within Product Control or the wider banking environment.

• To deliver cost efficient research and development when priorities are changed and limited information is available.

• To complement and enhance the working patterns of the market risk engineering team with focus on the development and consolidation of current methodologies developed within market risk.

Main Duties

• To assist in the development of new and existing methodologies in the creation of historical time series for differing asset classes eg.constructing or using existing statistical and/or time series models for synthetically creating data.

• Fully understand the concepts inherent within our VaR methodologies and investigate possible enhancements such as stress testing and extreme value theory on an on-going basis and coordinate their implementation in the production environment

• Overall responsibility for the daily time series and VaR issues, ensuring that problems are overcome by means of effective dialogue with internal and external team members.

• The role will also involve extensive testing of time series within the differing environments that exist within our Risk arena.

• To work as a member of an effective team, contributing to the needs that may arise on an adhoc basis without loss of generality to current projects or work processes.

• During times of stress, assist colleagues from the differing asset class groups with tasks that may differ from their immediate role.

• As time series is a key component of our market risk methodology, having the necessary skills to ensure that the data used within our risk engines are correct.

• Providing line management responsibilities to a small team of executives.

Person Requirements Qualifications and Experience

• Bachelor's Degree - 2nd class Upper or higher, with some quantitative subjects Numerate post graduate or professional qualification.

• 4+ years in a top tier institution exposed to Market Risk, delivery of projects, and/or Product. Analysis. Preferably with Financial Markets experience and/or Systems Exposure.

Skills and Knowledge

• Competence with Word / Excel / Access / Project.

• Talent for assimilating large quantities of data and presenting in a logical format.

• Excellent problem solving ability.

• Quantitative analysis and research skills.

• Attention to detail.

• Working knowledge of systems and IT related environment.

• Financial products knowledge.

• Prior risk exposure.

• Team player, Ambitious/focused.

• The need for innovation and creative thinking.

Preferably with:

• Excel VBA skills.

• Value at Risk experience.

• Market Risk system experience.

• Understanding of commodities trading strategies.

Candidate's profile

• The successful candidate will demonstrate persistence, diligence and the capacity to accept and drive change.

• I would expect them to come from either a Risk or Business/Financial/Product Control environment.

• A team player with good upward and downward communication skills is also essential.

• A person with the drive to learn, create ideas and use their own initiative when faced with complexities.

• An individual with Product Control, Business and Risk experience.

• Proven ability to deliver timely high quality project work in a relatively unsupervised environment.

• Comfortable in communicating with Risk Managers and IT and be willing to question existing processes in a tactful manner. Previous Systems exposure

• As the reporting of non-VaR products (ie: Greeks) become much more prominent, an understanding of options, sensitivities and positional reporting will be a distinct advantage