Assistant VP (Model Validation Risk Management) - BOC International

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

Job summary

BOC International Holdings Limited is seeking a senior professional to build and maintain a robust model risk governance framework in line with HK SFC Type 11 requirements. You will independently validate VaR, SIMM, and OTC pricing models, liaise with LOD1, and assess risk implications of system upgrades.

You will partner with IT and Operations to ensure data quality and be the primary liaison for internal/external audits, while delivering training on valuation and quantitative risk methods to

Qualifications

• Advanced degree in quantitative fields required.
• 5+ years in risk management, valuation control, model validation, and quantitative analytics in financial institutions.

Responsibilities

• Build and maintain a robust model risk governance framework ensuring policy clarity and HK SFC Type 11 compliance.
• Perform independent validation and review of critical risk models (VaR, SIMM) and OTC pricing models.
• Liaise with LOD1 to oversee controls around model development, implementation, and monitoring.
• Validate pricing and risk models for new initiatives or product launches and assess implications of system upgrades.
• Collaborate with IT and Business Operations to ensure data quality and integrity for accurate model results and reporting.
• Act as primary liaison for model risk audits and regulatory inquiries, ensuring compliance with local and international standards.
• Deliver technical training on valuation and quantitative risk methodologies to cross-functional stakeholders.

Skills

Quantitative risk

Model validation

Regulatory knowledge

Communication

Education

Master's/PhD in Quantitative Finance/Mathematics/Physics

Tools

Excel VBA

Python

Bloomberg

RiskMetrics

Numerix

C/C++

Java

Job description

Key Accountabilities

• Build and maintain a robust model risk governance framework, ensuring policy clarity and compliance with HK SFC Type 11 regulatory requirements as well as global industry standards.
• Perform independent validation and review of critical risk models (e.g., VaR, SIMM) and OTC derivative pricing models, applying rigorous back‑testing, benchmarking, and performance analysis.
• Liaise with the First Line of Defense (LOD1) to oversee controls around model development, implementation, model use and ongoing monitoring.
• Validate pricing and risk models associated with new business initiatives or product launches, and assess model risk implications arising from system upgrades or infrastructure changes.
• Partner with IT and Business Operations to ensure data quality, completeness, and integrity through logistics checking and rectification, thereby guaranteeing accurate model results and risk reporting.
• Act as the primary liaison for model risk‑related internal and external audits and regulatory inquiries, ensuring compliance with local and international standards while monitoring emerging regulatory requirements.
• Deliver technical training on valuation and quantitative risk methodologies to cross‑functional stakeholders, providing practical guidance and support for business analytics.

Skills & Experience

• Advanced degree (Master's or Ph.D.) in Quantitative Finance, Mathematics, Physics, or related fields.
• Over 5 years of experience in risk management, valuation control, model validation, and quantitative analytics related business functions within a bank, consulting firm or other financial institutions.
• Candidates with over 2 years of full time working experience in Hong Kong or overseas is considered as an advantage.
• Solid understanding of OTC derivatives across major asset classes (Equity, Rates, FX, Credit), including standard valuation frameworks and risk metrics.
• Proficiency in Excel VBA and Python is essential; experience with C/C++, Java, or other programming languages is a plus.
• Excellent communication and writing skills in both Chinese (including Putonghua) and English.
• FRM (Financial Risk Manager) certification is preferred.
• Experiences with vendor software (e.g. Bloomberg, RiskMetrics and Numerix) is advantageous.

Other Information

• The personal data provided will be used for consideration of recruitment only. All personal data of unsuccessful candidate will be destroyed within 24 months;

About BOCI

As a leading investment bank in China and Hong Kong region, the investment banking arm of Bank of China, BOC International Holdings Limited (“BOCI”), is now seeking highly motivated, creative and success‑oriented professional who would like to pursue the career for supporting our group.