valuation risk - avp level in Hong Kong

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job details

posted
location
hong kong
specialism
banking & financial services
job type
permanent
working hours
Full-Time
salary
hk$ 50,000 - hk$ 60,000 per month
reference number
91M0125575_1540265497
contact
lily gehui, randstad hong kong
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job description

about the company

Our client is a leading Corporate and Commercial Bank with a strong presence in Greater China.
about the job
  • You will ensure the bank’s valuation framework is fully compliant with internal policies/guidelines and external regulatory requirements.
  • You will advise and assist senior management on reviewing valuation policy.
  • You will perform pricing model validation.
  • You will ensure pricing model and market data inputs are correctly applied to new products.
  • You will develop and perform CVA calculation.
skills & experiences required.
  • Degree holder in Financial Engineering / Quantitative Finance / Risk Management / Mathematics / Physics or relevant discipline
  • At least 4-6 years of relevant working experience, including 2-3 years of experience in valuation, model validation, fair value adjustment at global banks
  • Familiar with valuation techniques of standard FICC products, such as FX forward, NDF, FX vanilla/digital option, interest rate swap, cross currency swap, interest cap/floor and swaption
  • Knowledge in industry trend of valuation adjustment including close-out cost, CVA, early termination and model risk etc.
  • Experience in calculation of valuation adjustments of OTC derivatives is crucial
  • Good system skills in operating Treasury systems, e.g. Murex, Bloomberg and Reuters are preferred
  • Good interpersonal and communication skills in both English and Mandarin (both oral and written)
  • Strong Chinese typing skills - a MUST

To apply online, please click on the link below. Alternatively, for a confidential discussion please contact Lily Tu on + 852 2232 3472 or email: lily.tu@randstad.com.hk

skills

no additional skills required

qualification

Degree holder in Financial Engineering / Quantitative Finance / Risk Management / Mathematics / Physics or relevant discipline

educational requirements

Bachelor Degree