CLSA | Assistant Manager, Model Risk, Risk

2 days ago


hong kong, Hong Kong SAR China CLSA Full time
Assistant Manager, Model Risk, Risk

Apply locations: Hong Kong

Time type: Full time

Posted on: Posted 30+ Days Ago

Job requisition ID: JR000759

Key Areas of Responsibilities

  • Produce, review and improve CLSA model validation policy and procedure
  • Responsible for financial valuation model validation and testing, with coverage in equity derivative model and interest rate derivative model
  • Set up the model reserve and parameter reserve framework with product control team and front office
  • Liaise with Global risk team for risk modelling, including model update, maintenance and different kinds of risk measure
  • Responsible for regular model management tasks, including CVA/DVA, model review, etc.
  • Cooperate with the IT/Head office Risk quant to set up the checking mechanism for data completeness and data logistics. Consolidate Global head office requirement to IT team and act as a communication bridge
  • Provide valuation and risk calculation technical knowledge training to other teams, providing support for corresponding analysis
  • Work in various risk initiative groups to provide valuation model expertise assistance and coordination

Requirements

  • Strong background in math, sciences or financial engineering. Master Degree or above is preferred
  • Holder of CFA, FRM, or CIPM is preferred, but not a must
  • Excellent analytical, quantitative and problem-solving skills
  • Strong 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
  • Ability to work independently under pressure
  • Strong written and verbal communication skills, including effective presentation skills
  • Bilingual: English and Chinese
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