Role Summary:

The person will be working with other risk managers within the Model Risk Team covering model risk of various models in different risk domains, including pricing, Value at Risk (VaR), initial margin (IM), credit scoring, liquidity, risk capital, expected credit loss, stress test, etc.

Main task of this role focuses on pricing models validation for various products, including exotic equity derivatives.

Duties & Responsibilities:

• Perform model assessment, including model assumptions, limitations, inputs & outputs, methodology, implementation, monitoring and control, etc;
• Identify model risk issues, prepare documents, communicate with model stakeholders and implement remediation plan;
• Enhance model risk management policies, standards, procedures, controls and maintain model inventory;
• Create new tools/techniques that will enhance the group level risk monitoring and quantification;
• Maintain up to date knowledge of risk management practices and technical skills;
• Participate in project related tasks such as new business/ product approval, and risk system implementation and validation;
• Perform regular independent model validation with replicating method or building up challenge models when necessary;
• Draft validation report and model review report, and follow up model remediation issues.

Requirements:

• University degree in Financial Engineering, Quantitative Finance, Economics, Applied Mathematics, Statistics, Risk Management or related quantitative disciplines;
• Advanced degree or FRM / CFA qualification is an advantage;
• 1 - 3 years of experience in quantitative developing and structuring, pricing model validation, or market risk management in exotic equity derivatives;
• Experience in developing or validating risk models (including derivatives pricing model, SIMM, VaR, FRTB, etc.);
• Solid theoretical knowledge on derivatives and structured products pricing;
• Strong programming skills (C++/VBA/Python/R/SQL);
• Good communication and writing skills, with positive self-driven attitude;
• Experience and knowledge with Numerix, and Murex is an advantage;
• Fresh graduate with outstanding relevant academic background may be considered.

We offer an attractive remuneration package to the right candidate. Interested parties please forward your full resume with availability, expected salary by pressing "Apply" or send it to 27/F., Low Block, Grand Millennium Plaza, 181 Queen's Road, Central, Hong Kong.

(Data collected will be kept strictly confidential and used for recruitment purpose only.)