about the job.
- Carry out model assessment, covering model assumptions, limitations, inputs & outputs, methodology, implementation, monitoring and control, etc;
- Identify model risk issues, prepare documentation report to model stakeholders and implement remediation plan;
- Improve model risk management standards, policies, procedures, controls and maintain model inventory;
- Develop new instruments or techniques to improve group level risk monitoring and quantification;
- Maintain up to date knowledge of risk management practices and technical skills;
- Participate in project-related activities include approving new business or product and implementing/ validating risk management systems;
- Regularly validate independent models using a replication methodology or construct challenge models when necessary;
- Prepare validation and model review reports, and track model remedial issues.
skills & experiences required.
- University degree in Financial Engineering, Quantitative Finance, Applied Mathematics, Statistics, Risk Management or related disciplines;
- Advanced degree/ FRM / CFA qualification is an advantage;
- 1-5 years of experience in market risk or counterparty credit risk management, with experience in model validation, model development, model risk or quantitative research;
- Experience with developing or validating risk models (including derivatives pricing model, SIMM model, VaR model, IFRS9 ECL), or implementing FRTB, SIMM and stress testing is preferred;
- Understanding of the latest regulatory standards and industry practice for model risk management is preferred;
- Good product pricing and risk management knowledge in equity derivatives, structured products, fixed income, FX is necessary;
- Strong programming skill (C++/VBA/Python/R/SQL) is an advantage;
- Good communication skills and writing skills