Job Summary
This role is for a Head of Structured Credit Analytics who will work in Singapore and lead and manage model development for the Structured Credit, ABS and MBS desks. This will include working closely with the traders to drive developments and improvements in valuation and risk methodology.
Strategy
- Working with traders, structurers and other modellers to execute product development plans in line with business priorities, in the area of Structured Credit, ABS and MBS modelling.
Business
- Awareness of the economic, market and regulatory environment in which FM operates, especially as regards model and analytics capabilities
Processes
- Delivery of model documentation and testing material and reaching approval from stakeholders
- Improving and maintaining existing analytics in both C++ and Mu (Haskell)
- Maintaining the book of work for the Structured Credit team and agreeing priorities with the Business
- Research into alternative models and numerical techniques as well as ongoing assessment of models published in industry or academic literature.
- Provide day-to-day support for relevant business units.
- People leadership of two direct reports
- Develop and maintain models and risk scenarios for the pricing and risk management of products across Structured Credit, ABS and MBS.
- This role requires familiarity with industry-standard models for MBS prepayment models (including vendor models such as Intex and Bloomberg), modelling for cashflows and rating of ABS and CLO products, and general Structured Credit modelling.
Key Responsibilities
People & Talent
- People leadership of two direct reports. Supervise their work, track and evaluate their progress, provide vision and direction for the team, provide mentoring and advice.
Risk Management
- Develop and maintain models and risk scenarios for the pricing and risk management of products across Structured Credit, ABS and MBS. Provide troubleshooting, advice and resolution of any issues arising in Production with suitable updates to the analytics. Provide advice to Trading on the behaviour, assumptions, methodology and risks of the underlying models.
Governance
- Create, maintain and update model documentation for submission to validation. Work closely with model validators to establish consensus and reach approval of new models, and revalidation of existing models. Maintain close dialogue with control functions, including Risk and Product Control, to ensure appropriate and effective controls are maintained.
Regulatory & Business Conduct
- Display exemplary conduct and live by the Group’s Values and Code of Conduct.
- Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
- Lead the Structured Credit MAG team to achieve the outcomes set out in the Bank’s Conduct Principles: Fair Outcomes for Clients; Effective Financial Markets; Financial Crime Compliance; The Right Environment
- Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.
Skills and Experience
Experience with working with Trading, Sales, and Structuring business colleagues
• MAG developers
• Market Risk Analytics
• Model implementation delivery (MAG Cortex, SABRE, etc.)
• Group Model Validation
• FM model risk management
Our Ideal Candidate
- 10+ years of experience in developing or validating pricing models for Structured Credit in an international bank is required.
- Additional experience of MBS prepayment models and ABS/CLO cashflow models is required.
- Strong academic qualifications including a first degree, and also a master’s or PhD, in a quantitative subject (Mathematics, Financial Mathematics, Physics, Engineering)
- Strong programming experience, including good knowledge of C++ and ideally some familiarity with functional programming (for example Haskell)
- Experience of managing a small team of modellers, including coordination and assignment of projects, and supervision and oversight of the team
Role Specific Technical Competencies
- Strong academic qualifications in a quantitative subject (e.g., Financial Mathematics, Master’s or PhD)
- Past experience developing/validating pricing/risk models for Structured Credit in an international bank
- Good knowledge of industry-standard MBS prepayment models
- Good knowledge of modelling of ABS and CLO cashflows and ratings
- Good knowledge of numerical methods, stochastic calculus, and probability theory
- Good communication skills (verbal and written English)
- C++ programming
- Knowledge of financial market products, market conventions and regulatory requirements
- Knowledge of functional programming (e.g Haskell) is a plus
About Standard Chartered
We're an international bank, nimble enough to act, big enough for impact. For more than 170 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
- Are better together, we can be ourselves, be inclusive, see more good in others, and work collectively to build for the long term
What we offer
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 leave, parental/maternity (20 weeks), sabbatical (12 months maximum) and volunteering leave (3 days), along 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.
Visit our careers website www.sc.com/careers
