The Credit Research Initiative (CRI) team of the NUS Risk Management Institute invites PhD candidates/holders from quantitative disciplines to apply for its Research Fellowship. The successful candidates are expected to join the CRI Development Team.

Responsibilities (include but not limited to):

• Conducting individual research for journal publications on credit risk management, financial modelling and empirical analyses.
• Participating in the CRI operations in terms of model development/validation, data production, system enhancement and knowledge dissemination.
• Participating in the consulting projects for external parties (e.g. bespoke model development/validation).

The CRI is committed to achieving academic excellence and practical relevance. Over the course of its developments, it has produced top-tier original research and has helped a number of corporates, financial institutions and international organizations to solve real-world problems. For example, the CRI right now collaborates with the International Monetary Fund (IMF) in multiple projects. Its Bottom-up Default Analysis (BuDA) toolbox has been applied in a number of IMF stability assessments in various national contexts with rich policy implications.

Requirements:

• A PhD candidate/holder from a quantitative discipline, e.g. Economics, Finance, Mathematics, Statistics, Computer Science, Physics, etc. The successful candidate is expected to obtain his/her PhD degrees at the time of appointment.
• Someone who intends to do good research and strives to have a real-world impact.
• Someone with great curiosity in the unknowns and the capability to learn fast.
• A team player comfortable working with a diverse team in a multi-cultural environment.
• Someone who has strong sense of responsibility and is resilient when faced with challenges.
• Someone with good oral and written communication skills.

 

Applicants should submit their applications electronically to rmillke@nus.edu.sg. Your application should include:

• Application Form;
• NUS Personal Data Consent for Job Applicants;
• A detailed CV including publications;
• A statement of future research plan and samples of research work;
• Two reference letters.

We regret that only shortlisted candidates will be notified.

Be part of a dynamic team in analysing risk in today’s financial markets. An opportunity exists to join the Risk Management Institute (RMI) as a Research Analyst / Associate in the Credit Research Initiative. You will compute and publish probabilities of default (PD) of listed firms globally based on RMI’s quantitative model, and contribute to the on-going research and development of the model. This is a cross-functional role that requires the exploration of different dimensions of risk management. It will challenge successful applicants and is a great learning and development opportunity.

Career Benefits:

• Gain a detailed understanding of a cutting-edge quantitative credit risk model being pioneered by NUS RMI under the Credit Research Initiative (CRI).
• Further your knowledge in quantitative modeling and financial analysis.
• Gain experience in emerging technologies (e.g. cloud/grid computing, GPU computing, FPGA).
• Benefit from a world-class research environment at the forefront of credit risk, with a motivated research team a well-established network.

Successful applicant can look forward to join one of the team(s) below.

 

1. Data Management Team

The Data Management Team (DMT) acts as a backbone to the CRI with the main function of developing and managing the CRI database, and acting as a data provider to support the research, model development and validation for other teams. As a member in the DMT, you will learn data management, quantitative modelling, mathematical algorithms and general programming skills utilized on the frontier of the CRI’s credit risk research.

Responsibilities:

• Creating and improving database elements for higher efficiency of the processes and quality of data.
• Transforming source data into standardized formats for inclusion in the master database.
• Designing and developing database management systems and related platforms and tools (e.g., MS SQL Server, SSIS, T-SQL, etc.) and stored procedures that fulfill the technical and business requirements.
• Monitoring of operating process.
• Investigation of suspicious data and data cleaning.
• Importing and managing massive data from various financial sources into the database.
• Modification of data generating process to cater to changing operating requirements.
• Creating and improving database elements for higher efficiency of the processes and quality of data.
• Perform ad-hoc data related tasks as requested by other teams or clients.

Requirements:

• Preferably major in the area of Mechanical Engineering, Computer Science, IT, Physics, Statistics, Mathematics, or similar discipline.
• Proactive in nature, quick response in case of operational issues, and has a strong sense of responsibility.
• Must be a keen learner, proactive in nature and possess a strong sense of responsibility.
• Possess strong analytical and problem solving skills.
• Ability to work independently as well as part of a team as well as communicating effectively both orally and in writing.
• Knowledge and experience with SQL (T-SQL, MySQL), MATLAB, and Julia.
• Knowledge of at least one ETL tool, preferably SSIS.
• Knowledge in Python and Bloomberg Terminal is a plus.

 

2. Product Management Team

The Product Management Team (PMT) manages and produces various credit risk products and plays a key role in the CRI. The successful candidate will have the precious opportunity to quickly learn the modelling approaches, mathematical algorithms and programming skills utilized on the frontier of CRI’s credit risk research through working with the team members.

Responsibilities:

• Improving scientific computation of credit risk measures such as Distance to Default (DtD), Probability of Default (PD) and Actuarial Spread (AS).
• Developing and improving the production system of credit risk management tools such as stress testing/scenarios analysis.
• Improving and monitoring the CRI PD production system.
• Analysing the jump of the credit risk measures and tracing the reason behind.
• Deal with urgent and/or ad-hoc requests.

Requirements:

• Preferably major in the area of Finance, Economics, Statistics, Mathematics, Mechanical Engineering, Computer Science, Physics or similar discipline.
• Experience in Matlab is preferred. Other languages, e.g. C++ or Python, are welcome, but will be requested to learn/use Matlab.
• Quick response in case of operational issues.
• Must be a keen learner, proactive in nature and possesses a strong sense of responsibility.
• Able to work independently and across different teams.
• Possess strong analytical, interpersonal, organizational and planning skills.
• Knowledge in Financial Statement, SQL, Julia, VBA and Bloomberg Terminal would be a plus.

 

3. Validation Team

The Validation Team (VT) handles the assessment of models servicing a wide range of activities across the CRI, including Probability of Default, Actuarial Spread and Stress Testing models. As a member in the Validation Team, you will work on a variety of models covering many aspects of the model life cycle, including data management, methodology, programming and quantitative assessment. Successful candidates will contribute to the CRI’s assessment and evaluation of credit risk models.

Responsibilities:

• Independent evaluation of existing risk models including PD, AS and Stress Testing models.
• Assist with the delivery of the validation plan, ensuring timely identification of issues.
• Quantitative assessment of model performance via data evaluation and statistical testing.
• Coordination with internal stakeholders on model issues, achieving suitable resolutions.
• Deal with urgent and/or ad-hoc requests.

Requirements:

• Preferably major in the area of Economics, Statistics, Mathematics, Finance, Physics, Computer Science, or similar discipline.
• Proactive attitude, strong sense of responsibility.
• Independent thinker and fast learner, strong interest in credit risk analysis.
• Curious, with ability of speaking up and challenging perceived wisdom.
• Strong focus on quality control and attention to details.
• Familiarity with MATLAB, Python or R.
• Experience in SQL, VBA or Julia is a plus.

 

Applicants should submit their applications electronically to rmillke@nus.edu.sg. Kindly indicate the team you are interested in applying for in your application. Your application should include:

• Application Form;
• NUS Personal Data Consent for Job Applicants;
• A detailed CV;
• Cover letter.

We regret that only shortlisted candidates will be notified.

Internship Program

The CRI internship program is open to highly motivated students, both undergraduate and postgraduate from various academic backgrounds, who are passionate to embrace new technologies and desire to acquire advanced knowledge and skills in the field of credit risk. Leveraging the diverse expertise at CRI, you will also enjoy opportunities to pursue self-initiated projects through individual collaborations.   

The CRI Internship Program 2019 will commence in May 2019 and last for one year (full-time during summer and winter holidays and part-time during school terms) to let the participants have an extensive experience with the roles and tasks in CRI. Basic programming skills in Julia, Python, MatLab, and/or SQL would be a plus. All interns will be remunerated according to NUS standard.

To apply for this opportunity, you may send your resume to Ms. Eve Liew at rmillke@nus.edu.sg and indicate the two teams of your top preference (your preference will be considered but are not guaranteed). Please include "Application for CRI Internship Program 2019" in your email's subject line.

The CRI team is organized into six sub-teams, Development Team (DT), Data Management Team (DMT), Product Management Team (PMT), Validation Team (VT), Market Monitoring Team (MMT) and Client Services Team (CST). Each plays a key role in the CRI’s efforts to advance the credit research and reshape the credit rating practice.

1. DEVELOPMENT TEAM

The Development Team (DT) continuously improves CRI’s in-house models and systems, and develops new applications. As a member of DT, the candidate should have an in-depth understanding about CRI products and always keep an open mind to new things. The job scope ranges from data analysis, modeling and website design. We welcome candidates who enjoy the challenging and exciting working environment.

2. DATA MANAGEMENT TEAM

The Data Management Team (DMT) acts as a backbone to the CRI with the main function of developing and managing the CRI database, and acting as a data provider to support the research, model development and validation for other teams. As a member in the DMT, you will learn data management, quantitative modelling, mathematical algorithms and general programming skills utilized on the frontier of the CRI’s credit risk research. 

3. PRODUCT MANAGEMENT TEAM

The Product Management Team (PMT) manages and produces various credit risk products and plays a key role in the CRI. The successful candidate will have the precious opportunity to quickly learn the modelling approaches, mathematical algorithms and programming skills utilized on the frontier of CRI’s credit risk research through working with the team members.

4. VALIDATION TEAM

The Validation Team (VT) handles the assessment of models servicing a wide range of activities across the CRI, including Probability of Default, Actuarial Spread and Stress Testing models. As a member in the Validation Team, you will work on a variety of models covering many aspects of the model life cycle, including data management, methodology, programming and quantitative assessment. Successful candidates will contribute to the CRI’s assessment and evaluation of credit risk models.

5. MARKET MONITORING TEAM

The Market Monitoring Team (MMT) observes financial markets and conduct relevant studies by using proprietary methods with the aim to promote CRI’s products and relate to current market events. As a member in the MMT, the candidate will quickly gain knowledge to CRI models and develop a greater understanding on financial markets from a credit perspective. The main tasks will be to conduct researches and financial/credit analysis on industries and companies and market surveillance for credit events.

6. CLIENT SERVICES TEAM

The Client Services Team (CST) bridges the gap between the CRI and external users and industry clients by offering tailored solutions to suit their needs. As a member in the CST, the candidate will quickly gain knowledge to CRI models and services, and exposure in handling projects or inquiries from institutional clients such as supranational organization, international banks and FinTech companies.