model risk/model validation - investment bank in Hong Kong

posted
contact
cheryl tsang, randstad hong kong
job type
permanent
salary
HK$ 110,000 - HK$ 120,000 per month

job details

posted
location
hong kong
specialism
banking & financial services
job type
permanent
working hours
Full-Time
salary
HK$ 110,000 - HK$ 120,000 per month
reference number
91M0154141_1615952685
contact
cheryl tsang, randstad hong kong
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job description


about the company

Our client is a top-tier Investment Bank with a strong presence in both China and Western countries about the team The team is expanding, enegetic and dynamic about the job -You will be responsible for financial valuation model validation and testing covering interest rate derivative model and equity derivative model -You will review and enhance model validation policy and procedures of the business as well as set up the parameter reserve and model reserve framework with different stakeholders including front office and prodyct team
-You will liaise with regional and global risk teamd for risk modelling issues -model update, maintenance and different kinds of risk measures-You will be in charge of regular model management tasks, include CVA/DVA, model review, etc skills & experiences required -Strong education background in quantitaive, math, sciences or financial engineering. Master Degree or above is preferred
-Holder of CFA, FRM, or CIPM is preferred
-At least 5 years’ experience working in risk model validation or front office Quant roles
Excellent analytical, quantitative and problem-solving skills
-Profound knowledge of options pricing theory and quantitative models for pricing and hedging derivatives
-Experience with advanced statistical models for empirical estimation of risk models is preferred
-Strong computing and development skills using Python, C/C++, VBA and/or SQL etc
-Ability to work independently under pressure
-Good command in written and verbal communication skills in English and Chinese

skills

model validation, model risk, model review, CVA, DVA, front office Quant, Python, C/C++, quantitative models

qualification

Holder of CFA, FRM, or CIPM is preferred

educational requirements

Bachelor Degree