The role requires close co-operation with worldwide RISQ teams and various departments in the region. The principal missions of the position would consist of:
Strengthen the Curve Management function in Asia:
Take charge of curve setup for Pricing and PnL in both FIC and EQTY business. Work on major evolutions (IBOR transition, emerging curve cleanup, Karma implementation).
Contribute to the FRTB program ramp-up in Asia:
Understand the FRTB metrics and their methodology of computation (internal model & standard approach). Guarantee the correctness of their representation in the internal SI. Help in setting and testing the target process of monitoring and certification of the FRTB metrics.
Participate to the Default Management Process for Asian Central Counterparties:
Take charge of the fire drill for RISQ/RMA/MMG. Follow the impacts of auction process and recovery tools on market risk limit consumption. Help in formalizing and rationalizing the default management framework of SG in Asia.