Assistant Manager, Model Risk, Risk

Company : Clsa

Job Type : Full Time

Hong Kong

Job Description - Assistant Manager, Model Risk, Risk

Key Areas of 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, include CVA/DVA, model review and etc.
Cooperate the IT/Head office Risk quant to setup the checking mechanism for data completeness and data logistics. Consolidate Global head office requirement to IT team and act as a communication bridge
Provide valuation and risk calculation technical knowledge training to other teams, providing support with them for corresponding analysis
Work in various risk initiative groups to provide valuation model expertise assistances and coordination

Requirements

At least 1 year of relevant experience
Strong background in math, sciences or financial engineering. 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
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 etc.
Ability to work independently under pressure
Strong written and verbal communication skills, including effective presentation skills
Bilingual: English and Chinese

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About the Company

Clsa

Key Areas of 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...

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Assistant Manager, Model Risk, Risk

Job Description - Assistant Manager, Model Risk, Risk

About the Company

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