Senior Model Risk & Validation Specialist – Basel & SIMM

Securities and Futures Commission (SFC); Hong Kong; On-site; HKD 1,200,000 - 1,800,000; Full time

Job summary

The Securities and Futures Commission (SFC) is seeking an experienced model validation and model risk management professional to join the Basel Capital and Risk Models Team in the Intermediaries Supervision Division. The appointee will support the review of internal market risk models for regulatory capital purposes and initial margin models for OTC derivatives.

The Basel Capital and Risk Models Team is responsible for establishing and applying regulatory standards for the approval of licensed

Qualifications

• At least 5 years practical experience in model validation and model risk management of market risk models.
• Experience with OTC derivative initial margin models and risk analysis of complex financial products.
• Knowledge of Basel requirements for market risk internal models (VaR, SVaR, IRC) and OTC initial margin.
• Degree in quantitative finance, mathematics, engineering, or science-related subject.
• Strong sense of responsibility and impeccable integrity.

Responsibilities

• Review applications from licensed corporations for use of internal market risk models for regulatory capital purposes.
• Review initial margin models for OTC derivatives, including SIMM.
• Evaluate model validation frameworks, back-testing results, stress testing results, and model governance arrangements.
• Prepare assessment papers and recommendations.
• Engage with licensed corporations on model-related issues, findings, and remediation actions.

Skills

Model validation

Model risk management

Regulatory capital

OTC derivatives

Integrity

Education

Quantitative degree

Job description

The Securities and Futures Commission (SFC) is seeking an experienced model validation and model risk management professional to join the Basel Capital and Risk Models Team in the Intermediaries Supervision Division. The appointee will support the review of internal market risk models for regulatory capital purposes and initial margin models for OTC derivatives.

The Basel Capital and Risk Models Team is responsible for establishing and applying regulatory standards for the approval of licensed