Assistant Manager, Model Risk, Risk

CLSA; Hong Kong; On-site; HKD 400,000 - 600,000; Full time

Job summary

CLSA in Hong Kong seeks a model validation specialist to produce, review and improve the model validation policy and procedures. You will validate financial valuation models, including equity derivative models and interest rate derivative models, and set up the model reserve framework with product control and front office.

Collaborating with Global risk, IT and head office risk quant, you will ensure data completeness and contribute to risk measures, CVA/DVA and ongoing model maintenance while

Qualifications

• Minimum 1 year of relevant experience.
• Master degree or above in math, sciences or financial engineering.
• CFA/FRM/CIPM is preferred but not required.

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

Skills

Python

C/C++

VBA

SQL

Mathematics

Education

Master's degree or above

CFA/FRM/CIPM (preferred)

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