- Reports to Head of Market Risk @ QCP
- Deploy C-VaR python prototype tool in production for QCP's MM Options desk positions and Flow desk positions covering all instruments by Jun 2024.
- Instruments include exchange traded vanilla options, futures, spot and perpetual positions in addition to OTC vanilla options, structures, forwards and spot positions.
- Automated deployment should run on QCP's AWS risk server and generate reports based on the EOD (8am SGT) daily position of desks, including weekends.
- Solution should enable accurate C-VaR attribution at currency pair, instrument type, deal and Greek sensitivity level
- Deploy fallback solutions in the event of primary server downtime.
- Timely reports on C-VaR exposures and provide a short commentary on primary risk drivers for the exposures on weekdays
- Flag and analyse any C-VaR breaches in relation to prescribed C-VaR Limits
- Drill down to offending risks and positions
- Suggest strategies and timelines to reduce risks such that C-VaR exposures are realigned within limits
- Liaise with risk colleagues on any breaches by 9:30 am SGT
- Maintain the infrastructure of the tactical C-VaR Engine solution
- Identify and troubleshoot any errors / failures / bugs with the C-VaR tool
- Source and populate any erroneous, stale or missing market data for the generation of an accurate C-VaR result
- Assist with migration of C-VaR Engine to the target state solution in C# by using the tactical solution to generate benchmark C-VaR calculations
- Perform agreed ad-hoc upgrades or enhancements to the solution as required by management
- Liaise with risk colleagues on any technical issues
- Training of QCP colleagues to utilize the tool for ad-hoc runs of calculations on specific deals or portfolios
- Bachelor's or Master's degree in a numerical and/or computational subject or discipline
- Strong working knowledge and proficiency in Python
- A highly analytical skillset with sharp attention to detail
- A good understanding of C-VaR quantification methodologies and historical VaR simulation engines
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C-VaR Analyst - Singapur, Singapore - QCP
Description
Established in 2017, QCP is one of the first digital asset trading firms in Singapore, with a vision to partner the next generation of investors to unlock institutional opportunities in digital assets.
QCP brings to clients deep expertise gained from thriving through multiple market cycles. A global market maker in digital asset derivatives with a vast network of liquidity providers and counterparties, we are shaping the future of digital asset markets through greater access and efficiency.
We offer a range of tailored derivatives and spot trading as well as structured solutions to institutional, professional and accredited investors. We also provide 24/7 liquidity across various markets in partnership with various exchanges and platforms.
QCP is headquartered in Singapore and is supported by a strong team of professionals in trading, business development, operations, risk and compliance teams.
Our in-house publications track the constantly evolving state of digital assets and markets, and can be accessed on our Telegram ), website ), Twitter (@qcpgroup) and LinkedIn.
Responsibilities
C-VaR Reporting and Breach Monitoring
Support
Requirements
Benefits
The Environment We Offer
As a growing firm with a tightly-knit team, we respect and listen to all our employees. You will get the chance to make an impact by having your voice heard by everyone, including the management.
Our employees enjoy a high level of autonomy at work. We focus on substance, not form - as long as you can perform, you will be recognized and rewarded. We are also dedicated to supporting our staff and ensuring they develop holistically to maximize their potential in the long- term.
We also provide flexible working arrangement as required and a casual and fun environment to boot
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