Risk Model Developer

5 days ago


Hong Kong Island, Hong Kong SAR China CLSA Full time
Key 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.
  • Work closely with the Global risk team to set up the model reserve and parameter reserve framework with product control team and front office.
  • Liaise with the Global risk team for risk modelling, including model update, maintenance and different kinds of risk measure.

We require a strong background in math, sciences or financial engineering. A 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 are essential.

Strong knowledge of options pricing theory and quantitative models for pricing and hedging derivatives is required. 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 are necessary. Ability to work independently under pressure is also required. Strong written and verbal communication skills, including effective presentation skills, are essential.

Bilingual: English and Chinese.



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