AVP, Quantitative Risk Modelling, Risk Management

BOC International Holdings Limited; Hong Kong; On-site; HKD 900,000 - 1,500,000; Full time

Job summary

BOC International Holdings Limited seeks a senior quantitative risk professional in Hong Kong to lead research and development of quantitative risk models, collaborating with risk control teams to provide robust quantitative support.

You will drive end-to-end model lifecycles, support new business lines, and work with validation teams to ensure rigorous independent reviews, ongoing SIMM monitoring, and enhancements to counterparty risk and LTV methodologies.

Qualifications

• Degree in financial engineering, quantitative risk management, or STEM.
• 5+ years in quantitative risk management within investment banks or securities firms.
• 2+ years of local or international experience in HK is an advantage.
• Strong analytical and problem-solving skills with risk modeling exposure.
• Proficiency in Excel VBA and Python; knowledge of C/C++ or Java is a plus.

Responsibilities

• Lead quantitative research and development for quant risk models.
• Manage end-to-end lifecycle: development, implementation, calibration, backtesting.
• Coordinate with model validation for independent reviews.
• Monitor SIMM, analyze margin shortfalls and backtesting breaches.
• Design counterparty risk measurements (CEM, PFE, CVA) and stress-testing engines.
• Improve LTV models in Securities Margin Financing and Prime Brokerage.
• Translate business needs into IT requirements and automate risk metrics.

Skills

Excel VBA

Python

C/C++

Java

Education

Bachelor’s or Master’s degree in financial engineering or quantitative risk management or STEM

FRM certification (preferred)

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.