Associate VP (Quant Modelling) - BOC International

BOC International Holdings Limited; Hong Kong; On-site; HKD 900,000 - 1,600,000; Full time

Job summary

BOC International Holdings Limited in Hong Kong seeks a Senior Quantitative Risk professional to lead the development of quantitative risk models and provide rigorous quantitative support in collaboration with risk control teams.

You will manage end-to-end model lifecycles, support deployment for new business lines, monitor SIMM, and drive model optimizations, backtesting, and reviews with IT for real-time risk exposure metrics.

Qualifications

• Bachelor’s or Master’s degree in financial engineering, quantitative risk management, or other STEM disciplines.
• Over 5 years of relevant quantitative risk management experience within an investment bank or securities firm.
• Candidates with over 2 years of full time working experience in Hong Kong or overseas is considered as an advantage.
• Excellent analytical, quantitative and problem-solving skills; Proficiency in quantitative analysis, risk modeling, and statistical tools to support the development of counterparty risk exposure and margining methodology.
• 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.

Responsibilities

• Lead quantitative research and development for quant risk models, collaborating closely with risk control teams to provide quantitative support.
• Drive end-to-end lifecycle management of quantitative risk models, including development, implementation, calibration, and backtesting; actively support model design and deployment for new business lines and structured products.
• Partner closely with the model validation team to facilitate the validation or independent review of quant risk models.
• Perform continuous monitoring of the ISDA Standard Initial Margin Model (SIMM), conduct exceedance analysis on margin shortfalls/backtesting breaches, and drive ongoing model optimizations and updates.
• Design and enhance counterparty credit risk measurements (e.g. CEM, PFE, CVA, etc.) and stress-testing engines, continuously refining the risk limit management framework.
• Enhance the methodology, design, and parameter calibration for Loan-to-Value (LTV) models in Securities Margin Financing and Prime Brokerage, benchmarking internal practices against market standards and regulatory expectations.
• Formulate quantitative business requirements and collaborate with IT teams to build, deploy, and automate risk exposure metrics and real-time monitoring processes within core IT systems.

Skills

Analytical thinking

Problem solving

Communication skills

Team collaboration

Education

Bachelor's or Master's in financial engineering / quantitative risk management / STEM

Tools

Excel VBA

Python

C/C++

Java

Job description

Key Accountabilities

• Lead quantitative research and development for quant risk models, collaborating closely with risk control teams to provide quantitative support.
• Drive end-to-end lifecycle management of quantitative risk models, including development, implementation, calibration, and backtesting; actively support model design and deployment for new business lines and structured products.
• Partner closely with the model validation team to facilitate the validation or independent review of quant risk models.
• Perform continuous monitoring of the ISDA Standard Initial Margin Model (SIMM), conduct exceedance analysis on margin shortfalls/backtesting breaches, and drive ongoing model optimizations and updates.
• Design and enhance counterparty credit risk measurements (e.g. CEM, PFE, CVA, etc.) and stress-testing engines, continuously refining the risk limit management framework.
• Enhance the methodology, design, and parameter calibration for Loan-to-Value (LTV) models in Securities Margin Financing and Prime Brokeage, benchmarking internal practices against market standards and regulatory expectations.
• Formulate quantitative business requirements and collaborate with IT teams to build, deploy, and automate risk exposure metrics and real-time monitoring processes within core IT systems.

Skills & Experience

• Bachelor’s or Master's degree in financial engineering, quantitative risk management, or other STEM disciplines.
• Over 5 years of relevant quantitative risk management experience within an investment bank or securities firm.
• Candidates with over 2 years of full time working experience in Hong Kong or overseas is considered as an advantage.
• Excellent analytical, quantitative and problem-solving skills; Proficiency in quantitative analysis, risk modeling, and statistical tools to support the development of counterparty risk exposure and margining methodology.
• 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.

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;
• Candidates with Enhanced Competency Framework (ECF): please state on the CV.

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.