Senior Quant Risk Manager – Valuation & Modeling

PwC

Hong Kong

On-site

HKD 600,000 - 900,000

Full time

2 days ago

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Job summary

PwC in Hong Kong seeks a Senior Associate/Manager to conduct valuation of FX Derivatives, Interest Rate Derivatives, complex structures, and to quantify market risk using various approaches. The role involves model valuation of trading systems and risk engines, and developing risk models (SIMM, SA-CCR, CVA, FRTB-SA) for clients.

The candidate will design and implement more efficient risk management workflows through automation and digitalization, with strong programming and analytics skills in

Qualifications

Degree holder in quantitative majors (e.g., Quantitative Finance, Financial Engineering, Mathematics).
Masters or PhD preferred; CFA/FRM advantageous.
5+ years for Manager, 2-4 years for Senior Associate in financial institutions or consulting.
Strong knowledge of Basel III, HKMA, risk modelling, and product valuation.

Responsibilities

Valuation of FX Derivatives, Interest Rate Derivatives, and complex structured products.
Analyze market risk with statistical and sensitivity methods.
Develop and implement risk models (SIMM, SA-CCR, FRTB-SA, CVA, liquidity, IRRBB).
Create efficient risk management workflows through automation and digitalization.
Project management and teamwork with excellent communication.

Skills

Quantitative Finance

Financial modelling

Python

SQL

VBA

Numerix

Bloomberg

Excel

PowerPoint

Education

Masters

PhD

CFA

FRM

Tools

Bloomberg

Reuters

Trading systems

Job description

The candidate will design and implement more efficient risk management workflows through automation and digitalization, with strong programming and analytics skills in

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