Analyst/Associate – Market Risk Management

CGS International Holdings Limited; Hong Kong; On-site; HKD 900,000 - 1,300,000; Full time

Job summary

CGS International Holdings Limited is seeking a quantitative risk professional to perform day-to-day risk management of equity derivatives and monitor large P/L events, greeks and VaR movements, ensuring limits are properly reported.

You will create and automate daily risk monitoring reports, support risk system setup and firmwide stress testing, liaise with Front Office to implement controls, and provide timely risk assessments for new products and risk insights to stakeholders.

Qualifications

• Quantitative degree in science/math/financial engineering/risk management.
• Strong Excel and VBA/Python skills; SQL knowledge preferred.
• Around 3 years in equity derivatives market risk at a global or Chinese bank.
• Solid knowledge of equity derivatives, valuation models, VaR and risk tools.
• Experience with RiskMetrics and Bloomberg is a plus.
• Good communication in English and Mandarin.

Responsibilities

• Perform day-to-day risk management of equity derivatives positions, analyze large P/L events, greeks and VaR movement, monitor limits and reporting.
• Create and automate daily risk monitoring reports with risk measures incl. performance/attribution, concentration, greeks, VaR, stress testing.
• Liaise with Front Office to implement risk controls; address limit breaches and system issues promptly.
• Support risk system setup, implementation and enhancement.
• Support firmwide market and liquidity risk stress testing.
• Provide ad-hoc risk assessments for new products.
• Provide reporting to local and HQ Risk and Regulatory stakeholders.

Skills

Excel

VBA

Python

Communication

Education

Quantitative degree in Science/Mathematics/Financial Engineering/Risk Management

Tools

RiskMetrics

Bloomberg

SQL

Job description

• Perform day-to-day risk management of equity derivatives positions, analyze large P/L events, greeks and VaR movement, ensure limits are well monitored and properly reported, identify material risks and propose risk mitigations;
• Create and produce/automate daily risk monitoring reports with a number of risk management measures including performance and attribution analysis, concentration analysis, greeks and VaR calculation, stress testing etc., and ensure risk measures are correct and reviewed in a timely manner;
• Liaise regularly with Front Office trading in the implementation of risk controls and ensure that issues identified (limit breach, incomplete or inadequate risk monitoring, system problems) are addressed in a timely manner;
• Support on risk system setup, implementation and enhancement;
• Support on firmwide market and liquidity risk stress testing;
• Provide ad-hoc support on new products risk assessment;
• Provide reporting to local and HQ Risk and Regulatory stakeholders.

Requirements:

• Quantitative background in Science/Mathematics/Financial Engineering/Risk Management, CFA/FRM is a plus;
• Strong excel and VBA/Python skills are a must; other IT skills e.g. SQL and database, are preferred;
• Around 3 years working experience in equity derivatives market risk function in a global or Chinese investment bank/securities house;
• Sound knowledge in equity derivatives products and their valuation model, VaR and related risk management tools;
• System experience in RiskMetrics, Bloomberg is a plus;
• Knowledge in IMA, SMRA is a plus;
• Good communication skills in English and Mandarin.