Director of Model Risk Management

Responsibilities Role Overview: Enhance the Model Risk Management function for the Group’s OTC derivatives business (SFC Type 11). The incumbent will be responsible for designing, implementing, and overseeing a robust Model Risk Management Framework that meets Hong Kong SFC regulatory standards and global best practices. This role requires a strong focus on risk models, risk measurement systems, and regulatory capital models specific to OTC products. Model Risk Framework Governance & Strategy: Lead the design, implementation, and continuous enhancement of the Model Risk Management Framework across the organization, ensuring full compliance with HK SFC Type 11 regulations , Internal Control Guidelines, and relevant risk management circulars. Define and maintain the Model Governance Policy, ensuring clear segregation of duties between model development (1st Line) and model validation (2nd Line). Comprehensive Model Validation & Assessment: Direct the independent validation lifecycle for all material models, with a specific focus on Market Risk (VaR/ES) , andSIMM models. Conduct and oversee rigorous technical assessments, including theoretical review, replication, benchmarking, and challenge model development to quantify model limitations. Regulatory Compliance & Liaison: Serve as the primary subject matter expert on model risk for regulatory engagements; stay abreast of SFC, HKMA, and global regulatory changes (e.g., FRTB, IBOR transition) affecting OTC derivatives. Ensure all models used for regulatory capital reporting (under SFC Financial Resources Rules ) and risk monitoring are validated and approved in accordance with regulatory standards. Risk Monitoring & Quantification: Design and implement innovative quantitative tools to monitor model performance (ongoing monitoring), assessing stability, calibration, and predictive power. Establish a comprehensive model inventory and risk rating system to prioritize validation activities based on model materiality and complexity. New Product & Business Approval: Play a critical gatekeeping role in the New Product Approval (NPA) process for OTC derivatives, ensuring that all pricing and risk models for new products are validated and operational prior to launch. Assess model risk implications of new trading systems or risk infrastructure implementations. Reporting & Senior Stakeholder Management: Prepare and present high-impact Model Risk reports to Senior Management, articulating aggregate model risk exposure, validation findings, and remediation status. Drive the resolution of model risk issues by influencing model owners and business heads to implement necessary mitigation strategies. Requirements Advanced degree (Ph.D. or MSc) in Quantitative Finance, Mathematics, Physics, or related field. 8 years or above relevant experience in Model Risk Management, Quantitative Analytics, or Risk Management within an investment bank or SFC licensed corporation. Candidate with less experience (with at least 5 years or above relevant experience) may be considered as Vice President. Deep understanding of OTC derivative products (Equities, Rates, FX, Credit) and their associated valuation and risk methodologies. Familiarity with HK SFC regulations (SFO, Code of Conduct, FRR) is highly preferred. Experience in developing or validating risk models (including derivatives pricing model, SIMM, VaR, FRTB, etc.). Strong programming skills in C++, VBA, Python, or SQL. Excellent verbal and written communication skills in both Mandarin and English. We offer attractive remuneration package and fringe benefits to the right candidate. Interested applicants please send detailed resume stating present & expected salaries and date of availability to Human Resources Department by clicking "APPLY NOW". Further information about our group companies can be found at www.gfgroup.com.hk and www.gf.com.cn. All applications will be treated in the strictest confidence and personal data collected will be used for recruitment purpose only.