Job opening - Director, Model Risk and Validation, Investment Banking in Hong Kong | Randstad Hong Kong

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summary

hong kong
randstad hong kong
HK$900,000 - HK$1,100,000 per year, competitive bonus
permanent
full-time

specialism
banking & financial services
sub specialism
compliance, risk & governance
reference number
91M0200331_2574904134014463102

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job details

about the company. ...

Leading investment banking player with strong presence in both the primary and secondary market

about the job.

Manage and lead the risk analytics function to perform model development, maintenance, back testing and validation in the area of market risk, credit and counterparty risk
Drive SIMM model implementation, VaR Model backtesting, credit provisioning model validation
Maintaining and enhancing enterprise model risk framework, monitoring model life cycle events and identify key model risk issues
Ensure risk management practices is up to date in order to support PD/EAD calculation, initial margin calculation, risk capital calculation, VaR calculation, stress testing, back testing, etc
Participate in business initiatives and projects such as new business and product approval, risk system implementation and independent model validation
Perform regular independent model validation, draft validation report and follow up model remediation issues

skills & experiences required.

University degree in Financial Engineering, Quantitative Finance, Applied Math, Statistics, Risk Management or related discipline; FRM/ CFA / advanced studies is a plus.
At least 8-10 years of experience in market/ counterparty credit risk management OR model validation, model development, model risk, quantitative research
Experience with developing or validating risk models (i.e. VaR model, derivatives pricing model, IFRS9 ECL, LTV model, standard initial margin model), or implementing FRTB, SACCR and stress testing is preferred
Hands-on experience with model governance framework and understanding of the latest regulatory standards as well as industry practise in model risk
Solid product and risk management knowledge in fixed income, FX, equity derivatives, and structured products
Strong programming skill (VBA/Python/R/SQL) is an advantage
Strong communication skills and writing skills in Chinese and English

To apply online, please click on the link. Alternatively, for a confidential discussion please contact James Cheng on + 852 2232 3442 or email: james.cheng@randstad.com.hk

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about the company.

Leading investment banking player with strong presence in both the primary and secondary market

about the job.

Manage and lead the risk analytics function to perform model development, maintenance, back testing and validation in the area of market risk, credit and counterparty risk
Drive SIMM model implementation, VaR Model backtesting, credit provisioning model validation
Maintaining and enhancing enterprise model risk framework, monitoring model life cycle events and identify key model risk issues
Ensure risk management practices is up to date in order to support PD/EAD calculation, initial margin calculation, risk capital calculation, VaR calculation, stress testing, back testing, etc
Participate in business initiatives and projects such as new business and product approval, risk system implementation and independent model validation
Perform regular independent model validation, draft validation report and follow up model remediation issues

skills & experiences required.

University degree in Financial Engineering, Quantitative Finance, Applied Math, Statistics, Risk Management or related discipline; FRM/ CFA / advanced studies is a plus.
At least 8-10 years of experience in market/ counterparty credit risk management OR model validation, model development, model risk, quantitative research
Experience with developing or validating risk models (i.e. VaR model, derivatives pricing model, IFRS9 ECL, LTV model, standard initial margin model), or implementing FRTB, SACCR and stress testing is preferred
Hands-on experience with model governance framework and understanding of the latest regulatory standards as well as industry practise in model risk
Solid product and risk management knowledge in fixed income, FX, equity derivatives, and structured products
Strong programming skill (VBA/Python/R/SQL) is an advantage
Strong communication skills and writing skills in Chinese and English

...

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experience
10 years
skills
Model Risk, Model Validation, back testing, VaR, SIMM, market risk, credit risk, counterparty risk, margin financing, investment banking, sales and trading, equity, fixed income, FX, rate derivatives, credit derivatives, equity derivatives
qualifications
no additional qualifications required
education
Bachelor Degree

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JC

james cheng

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