AVP, Model Risk Management and Model Validation, Risk Management

BOC International Holdings Limited; Hong Kong; On-site; HKD 900,000 - 1,200,000; Full time

Job summary

BOC International Holdings Limited in Hong Kong seeks a senior risk professional to build and govern a robust model risk framework, validating pricing and risk models (VaR, SIMM, OTC derivatives) and ensuring regulatory compliance. You will collaborate with LOD1, IT and operations, perform back-testing, data quality checks, and deliver training on valuation methodologies.

Advanced degree and 5+ years in risk management are required; HK exposure is advantageous.

Qualifications

• Advanced degree in Quantitative Finance, Mathematics, Physics, or related field.
• 5+ years in risk management, valuation control, model validation, and quantitative analytics in a bank, consulting firm, or financial institution.
• 2+ years of full-time work experience in Hong Kong or overseas is an advantage.
• Solid understanding of OTC derivatives across major asset classes and standard valuation frameworks.
• Proficiency in Excel VBA and Python; knowledge of C/C++, Java is a plus.

Responsibilities

• Build and maintain a robust model risk governance framework in line with HK SFC Type 11 requirements.
• 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 business initiatives or product launches; assess model risk implications of system upgrades.
• Partner with IT and Business Operations to ensure data quality and integrity for accurate model results and risk reporting.
• Act as primary liaison for model risk-related audits and regulatory inquiries; monitor emerging regulatory requirements.
• Deliver technical training on valuation and quantitative risk methodologies to cross-functional stakeholders.

Skills

Excel VBA

Python

C/C++

Java

Education

Master's or Ph.D. in Quantitative Finance/Math/Physics

Tools

Excel VBA

Python

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;

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