Hong Kong City
6 months ago
Senior Manager, Model Risk
My client is one of the leading Chinese investment banks.
You will be the lead of model validation team and the independent review of quantitative models used across all business, including but not limited to credit risk, market risk and ALM.
As a 2nd LoD role, you will need to work closely with the key model stakeholders.
As a Senior Manager, you will need to...
- Produce, review and improve the business' model validation policy and procedure
- Responsible for financial valuation model validation and testing, with coverage in equity derivative model and interest rate derivative model
- Set up the model reserve and parameter reserve framework with product control team and front office
- Liaise with Global risk team for risk modelling, including model update, maintenance and different kinds of risk measure
- Responsible for regular model management tasks, include CVA/DVA, model review and etc.
- Work with IT/Head office Risk quant to setup the checking mechanism for data completeness and data logistics. Consolidate Global head office requirement to IT team and act as a communication bridge
- Provide valuation and risk calculation technical knowledge training to other teams, providing support with them for corresponding analysis
The business would prefer candidates with...
- 8+ years of experience working in Risk model validation or front office Quant roles
- Strong background in Mathematics, Sciences or Financial Engineering. Master Degree or above is preferred
- CFA, FRM, or CIPM is a plus
- Strong knowledge of options pricing theory and quantitative models for pricing and hedging derivatives
- Experience with advanced statistical models for empirical estimation of risk models is preferred
- Strong computing and development skills using Python, C/C++, VBA and/or SQL etc.
- Good command in both spoken and written Chinese & English
If you are interested to learn more about the role, please send your resume to Bettina Chow (email@example.com) for further discussion.