Assistant / Deputy Risk Manager (Market Risk / Pricing Model Validation)

3 months ago

Hong Kong, Hong Kong SAR China Bank Of China (Hong Kong) Limited Full time
Responsibilities
  • Conduct model validation for one or more than one type of models, in accordance with various regulatory requirements and internal mandates from the Board and Senior management, including valuation models of financial market products, risk models for market risk, interest rate risk, and liquidity management, models for stress testing, and etc.
  • Help identify model related issues which will impact on risk management, compliance, and business objectives, effectively communicate results and closely track follow-up actions taken by related parties to minimize the inherent model risk associated with the model uses
  • Facilitate review of policy and operational guidance regularly for qualitative and quantitative validations of various types of models
  • Assist the implementation of model risk management policy for the relevant model types, i.e. review the related model inventory and contribute to the bank wise model risk report
  • Assist in industry research to experiment with different ideas using varying approaches to facilitate model validation and model risk identification, and track regulatory direction by frequently sorting through the latest regulatory documentation
  • Prepare reports and assist team's communication with the management, internal and external auditors, the board, regulators and other related stakeholders
Requirements:
  • Bachelor, Maser degree or above with major in Quantitative Finance, Mathematics, Statistics, Physics, Economics or Engineering or equivalent analytic disciplines, Master degree is preferred
  • With 1 year of relevant working experience is preferred
  • Proved tracking record of effectively performing model development or validation related activities in financial institutions, consultancy or regulatory bodies will be a plus, but not required for entry level role. A manager or senior manager role would be considered, if more experience is involved
  • Sufficient knowledge in derivatives products and valuation models Good understanding in one or more of the following areas: Basel II / III regulatory framework for market risk / IRRBB / liquidity management will be preferred
  • Proficiency in tools like Bloomberg and other programming languages such as Python, VBA
  • Self-motivated, willing to learn, detail-minded and with passion for risk management excellence
  • A team player with effective communication and interpersonal skills is a mandate
  • Excellent in both written and spoken English and Chinese

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