Senior Quantitative Risk Analyst
3 days ago
We are seeking a highly skilled Senior Quantitative Risk Analyst to join our team at CLSA.
The successful candidate will be responsible for producing, reviewing and improving CLSA model validation policy and procedure. They will also be responsible for financial valuation model validation and testing, with coverage in equity derivative model and interest rate derivative model.
In this role, you will work closely with the Global risk team to set up the model reserve and parameter reserve framework with product control team and front office. You will liaise with the Global risk team for risk modelling, including model update, maintenance and different kinds of risk measure.
You will also be responsible for regular model management tasks, including CVA/DVA, model review, etc. Additionally, you will cooperate with the IT/Head office Risk quant to set up the checking mechanism for data completeness and data logistics.
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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