- Assistant Vice President- Market Risk Department
- Assess the market risk and interest rate risk
- Monitor trading book and banking book limits
Job Description
Responsibilities:
- Prepare daily market risk reports and monitor market risk limits
- Perform risk analyses on treasury activities
- Assist in reviewing respective risk management policies and procedures
- Participate in system implementation projects;
- Perform qualitative and quantitative validation of models related to market risk and interest rate risk;
- Regular review the existing pricing methodology, assumptions, limitation of models;
- Provide comments on new products assessment from model perspective (e.g. valuation, greeks, model parameters);
- Perform risk analysis in order to assist management in decision making; and
- Perform other ad hoc projects or assignments.
Requirements:
- University graduate in Risk Management, Quantitative Finance, Statistics, Financial Engineering, Science or related disciplines;
- Ideal candidate with at least 3 years of validation/ quantitative experience in risk functions in financial industry;
- Experienced in FX/IR valuation model review is preferred;
- Good programming skills in Excel VBA, and Python is plus;
- Well-versed in spoken and written English and Chinese; Putonghua would be an advantage;
- Holder of CFA or FRM is a plus;
