Model Risk Specialist: Pricing Models & Market Risk

国泰君安国际 Guotai Junan International; Hong Kong; On-site; HKD 550,000 - 900,000; Full time

Benefits offered by this job

Attractive remuneration package

Job summary

Guotai Junan International is seeking a quantitative professional to perform model assessment, development and validation within our risk management framework. You will evaluate model assumptions, limitations, inputs and outputs, and contribute to remediation plans.

The role requires strong programming skills (C++, Python, R, SQL) and experience with derivatives pricing models, SIMM, VaR, and FRTB. Collaboration across teams is essential.

Qualifications

• University degree in quantitative disciplines or related field.
• FRM/CFA qualification is an advantage.
• 2-5 years in quantitative development, structuring, pricing model validation, or market risk management in exotic equity derivatives.
• Experience with risk models (including derivatives pricing model, SIMM, VaR, FRTB) is preferred.
• Strong programming skills in C++, Python, R, SQL.

Responsibilities

• Perform model assessment including assumptions, limitations, inputs/outputs, methodology, implementation, monitoring and control.
• Identify model risk issues, prepare documents, communicate with stakeholders and follow up remediation.
• Enhance model risk management policies, standards, procedures, controls and maintain model inventory.
• Create tools/techniques to enhance group-level risk monitoring and quantification.
• Participate in project tasks such as new business/product approval, and risk system implementation and validation.
• Perform independent model validation with replicating methods or challenge models when necessary.

Skills

C++

Python

R

SQL

VBA

Derivatives pricing

Risk management

Education

Financial Engineering / Quantitative Finance degree

FRM / CFA qualification advantageous

Tools

Acadia RAL

ICE Data Derivatives

MSCI RM

Numerix

ORE

Job description

Guotai Junan International is seeking a quantitative professional to perform model assessment, development and validation within our risk management framework. You will evaluate model assumptions, limitations, inputs and outputs, and contribute to remediation plans.

The role requires strong programming skills (C++, Python, R, SQL) and experience with derivatives pricing models, SIMM, VaR, and FRTB. Collaboration across teams is essential.