Senior Manager

Found in: Talent HK C2 - 2 weeks ago


Hong Kong, Hong Kong SAR China Securities and Futures Commission Full time
Senior Manager (Basel Capital and Risk Models Team) - Intermediaries Supervision, Intermediaries

Ref.: SFC/SM/IS/INS/INT/240216

We are seeking experienced model risk management specialists who have rich experience with market risk/counterparty credit risk/ OTC derivatives initial margin models to join the team.

Duties & Responsibilities:

The team is responsible to establish and implement regulatory requirements for the use of internal capital models (e.g. VaR / SVaR), latest Basel capital standards (e.g. FRTB and SA-CCR) and OTC derivatives initial margin models (e.g. SIMM) by approved licensed corporations.

Requirements:

To be successful in this role, you should have:

  • a postgraduate degree in statistics, engineering or other quantitative finance or science subject;
  • at least 8 years’ practical experience in model risk management and risk analysis of complex financial products, preferably gained from
    - development or validation of market risk/counterparty credit risk/OTC derivatives initial margin models in/for a top tier financial institution or reputable regulatory body;
    - risk management over complex trading portfolios conducted in/for a top tier financial institution; or
    - a combination of the above;
  • working knowledge of FRTB, SA-CCR or regulatory requirements for OTC derivatives initial margin models, preferably gained from implementation or compliance review of the requirements conducted in/for a top tier financial institution or reputable regulatory body;
  • exposure to regulatory policy setting will be an advantage; and
  • a strong sense of responsibility and impeccable integrity.
 


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