Senior Quantitative Risk Modeling Lead

BOC International Holdings Ltd; Hong Kong; On-site; HKD 1,100,000 - 1,700,000; Full time

Job summary

BOCI in Hong Kong seeks a senior quantitative risk professional to lead research and development of risk models, collaborating with risk control teams to provide rigorous quantitative support.

You will manage end-to-end lifecycle of models, calibrate and backtest, support new business lines, work with validation, monitor SIMM, and enhance CEM, PFE, CVA and stress-testing engines, aligning with regulatory expectations.

Qualifications

• Bachelor’s or Master’s degree in financial engineering, quantitative risk management, or other STEM disciplines.
• Over 5 years of quantitative risk management experience in an investment bank or securities firm.
• 2+ years working experience in Hong Kong or overseas is advantageous.
• Strong analytical, quantitative and problem-solving skills; proficiency in quantitative analysis, risk modeling, and statistical tools.
• Excel VBA and Python are essential; C/C++, Java experience is a plus.
• Excellent communication and writing skills in Chinese (Putonghua) and English.
• FRM certification is preferred.

Responsibilities

• Lead quantitative research and development for quant risk models, collaborating with risk control teams.
• Drive end-to-end lifecycle management of quant risk models: development, implementation, calibration, backtesting.
• Collaborate with model validation for validation or independent review of models.
• Monitor ISDA SIMM, analyze margin shortfalls and backtesting breaches; drive model updates.
• Design and enhance counterparty credit risk measurements and stress-testing engines.
• Refine risk limit management framework and calibration methods.
• Improve LTV models in Securities Margin Financing and Prime Brokerage; align with market standards and regulatory expectations.

Skills

Quantitative analysis

Risk modeling

Problem solving

Communication

English

Putonghua

Education

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

Tools

Python

Excel VBA

C/C++

Java

Job description

BOCI in Hong Kong seeks a senior quantitative risk professional to lead research and development of risk models, collaborating with risk control teams to provide rigorous quantitative support.

You will manage end-to-end lifecycle of models, calibrate and backtest, support new business lines, work with validation, monitor SIMM, and enhance CEM, PFE, CVA and stress-testing engines, aligning with regulatory expectations.