Senior Market Risk Quant

Standard Chartered Bank
Singapore, Singapore
16 Sep 2022
16 Oct 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Role Responsibilities
This role is a key contributor to the Market Risk Analytics team (MRA). MRA is responsible for the definition of methodologies for portfolio market risk metrics (e.g. VaR, Expected Shortfall), supervision of the market risk model framework and compliance with regulatory requirements.
  • Development of market risk models which are used for regulatory capital and risk management.
  • Development of Risk Not in VaR (RniV) models.
  • Provide technical guidance and expertise on Market Risk Model related matters.
  • Analyse key model performance metrics such as hypothetical backtesting and P&L attribution test (PLAT).
  • Support risk managers in all queries related to VaR and other portfolio risk metrics.
  • Test production systems for VaR/ES model changes, system migrations and new products.
  • Liaise with key business stakeholders on Market Risk Model changes.
  • Understand local and global regulatory requirements and be aware of market environment / practices that will impact portfolio risk metrics.
  • Maintain and enhance of existing VaR, stressed VaR, RniV and IRC models.

Our Ideal Candidate

The holder of the position must
  • be educated to at least the level of an MSc in a quantitative scientific subject including statistics and a research element.
  • working experience on market risk models or market risk management.
  • exercise sound judgment in assessing the strengths and weaknesses of VaR modelling approaches.
  • have strong technical writing and communication skills.
  • be able to work effectively with risk managers and other stakeholders.
Role Specific Technical Competencies
  • Advanced degree, or equivalent, in a quantitative subject, mathematics or statistics
  • Has experience with simulation methods and model development.
  • Good understanding of market risk and traded products.
  • Experience with market risk models (e.g. VaR).
  • Be able to communicate technical concepts clearly both verbally and in written documents.
  • Exercise sound judgment in assessing the strengths and weaknesses of modelling approaches.
  • Fluent English (both written and verbal).

About Standard Chartered
We're an international bank, nimble enough to act, big enough for impact. For more than 160 years, we've worked to make a positive difference for our clients, communities, and each other. We question the status quo, love a challenge and enjoy finding new opportunities to grow and do better than before. If you're looking for a career with purpose and you want to work for a bank making a difference, we want to hear from you. You can count on us to celebrate your unique talents. And we can't wait to see the talents you can bring us.

Our purpose, to drive commerce and prosperity through our unique diversity , together with our brand promise, to be here for good are achieved by how we each live our valued behaviours . When you work with us, you'll see how we value difference and advocate inclusion. Together we:
  • Do the right thing and are assertive, challenge one another, and live with integrity, while putting the client at the heart of what we do
  • Never settle, continuously striving to improve and innovate, keeping things simple and learning from doing well, and not so well
  • Be better together, we can be ourselves, be inclusive, see more good in others, and work collectively to build for the long term
In line with our Fair Pay Charter, we offer a competitive salary and benefits to support your mental, physical, financial and social wellbeing.
  • Core bank funding for retirement savings, medical and life insurance, with flexible and voluntary benefits available in some locations
  • Time-off including annual, parental/maternity (20 weeks), sabbatical (12 weeks maximum) and volunteering leave (3 days), along with with minimum global standards for annual and public holiday, which is combined to 30 days minimum
  • Flexible working options based around home and office locations, with flexible working patterns
  • Proactive wellbeing support through Unmind, a market-leading digital wellbeing platform, development courses for resilience and other human skills, global Employee Assistance Programme, sick leave, mental health first-aiders and all sorts of self-help toolkits
  • A continuous learning culture to support your growth, with opportunities to reskill and upskill and access to physical, virtual and digital learning
  • Being part of an inclusive and values driven organisation, one that embraces and celebrates our unique diversity, across our teams, business functions and geographies - everyone feels respected and can realise their full potential.
Recruitment assessments - some of our roles use assessments to help us understand how suitable you are for the role you've applied to. If you are invited to take an assessment, this is great news. It means your application has progressed to an important stage of our recruitment process.
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