Assistant Manager, Model Risk, Risk

CFA Institute; Hong Kong; On-site; HKD 334,800 - 558,000; Full time

Job summary

A leading financial services company in Hong Kong seeks a candidate with a Master's degree and relevant experience in model validation and financial analysis. Responsibilities include validation of valuation models, collaboration with global risk teams, and providing training on valuation and risk calculations. The ideal candidate has strong quantitative skills and proficiency in programming languages like Python and C/C++. Bilingual candidates in English and Chinese are preferred.

Qualifications

• At least 1 year of relevant experience.
• Strong background in math, sciences or financial engineering.
• Excellent analytical, quantitative and problem-solving skills.
• 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.

Responsibilities

• Produce, review and improve CLSA model validation policy and procedure.
• Responsible for financial valuation model validation and testing.
• Set up the model reserve and parameter reserve framework.
• Liaise with Global risk team for risk modelling.
• Provide valuation and risk calculation technical knowledge training.
• Work in various risk initiative groups to provide valuation model expertise.

Skills

Analytical skills

Quantitative skills

Problem-solving skills

Communication skills

Bilingual: English and Chinese

Education

Master Degree or above

Holder of CFA, FRM, or CIPM

Tools

Python

C/C++

VBA

SQL

Job description

Job Qualifications

• Master Degree or above is preferred
• At least 1 year of relevant experience
• Set up the model reserve

Job Description

Key Areas of Responsibilities

• Produce, review and improve CLSA 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.
• Cooperate the 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
• Work in various risk initiative groups to provide valuation model expertise assistances and coordination

Requirements

• At least 1 year of relevant experience
• Strong background in math, sciences or financial engineering
• Master Degree or above is preferred
• Holder of CFA, FRM, or CIPM is preferred, but not a must
• Excellent analytical, quantitative and problem-solving skills
• 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.
• Ability to work independently under pressure
• Strong written and verbal communication skills, including effective presentation skills
• Bilingual: English and Chinese