Assistant Manager, Model Risk, Risk

6 hours ago


hong kong, Hong Kong SAR China CLSA Full time

Overview Assistant Manager, Model Risk, Risk — CLSA Responsibilities and requirements are listed below. 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 and related activities Cooperate with IT/Head Office Risk quant to set up the checking mechanism for data completeness and data logistics; consolidate Global head office requirements to IT team and act as a communication bridge Provide valuation and risk calculation technical knowledge training to other teams and support corresponding analyses Participate in various risk initiative groups to provide valuation model expertise, assistance and coordination Requirements At least 1 year of relevant experience Strong background in math, sciences or financial engineering; Master Degree or above preferred Holder of CFA, FRM, or CIPM preferred, but not required 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 Seniority level Associate Employment type Full-time Job function Finance Industries Financial Services and Investment Banking #J-18808-Ljbffr



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