VP, CVA Trader/Analyst for XVA Desk, Global Treasury

Singapore, Singapore
11 Sep 2022
25 Sep 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
OCBC Bank 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 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.
Global Treasury covers four key functions:
  • Treasury Advisory and Institutional Sales to customers across Asia including corporations, financial institutions, high net worth individuals and retail markets.
  • Asset Liability Management to manage 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.
  • Trading provides competitive pricing and market making to customers and interbank players across FX, fixed income, interest rates, equity and credit derivatives.
  • Business Management creates infrastructure and processes to support business growth, with a focus on intra-division risk and compliance management to ensure proper prudent controls.

Role Summary

  • 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, capital & funding costs

Key Responsibilities:
  • Analyse and manage XVA risks (such as interest rates, credit and FX)
  • Implement trading overlays for relevant macro risks arising from underlying CVA portfolio
  • Provide support for the XVA desk, particularly in the area of quantitative credit risk analysis
  • Work with XVA team to identify medium term strategies to moderate CVA MTM volatility
  • Assist Sales and Trading in the defeasance/mitigation of CVA exposures (through credit enhancement, structuring, third party solutions)
  • Work with Market Risk managers and Treasury Financial Controllers to assess and/or develop CVA pricing models

The ideal Candidate will meet the following requirements:
  • An academic degree preferably in a quantitative field
  • Knowledge of coding/programming, e.g. Python, C++, and/or VBA, will be an advantage
  • Possess strong knowledge of financial instruments, in particular derivatives
  • Risk taking and/or risk management experience of more than 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.

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