Market Risk Manager

Employer
China Everbright Bank
Location
Hong Kong, Hong Kong
Salary
Competitive
Posted
Sep 12, 2019
Closes
Sep 14, 2019
Ref
6508909
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Job Responsibilities:
  • Implement new treasury system (including UATs) for risk measurement, sound pricing methodology and efficient operation workflow purposes;
  • Design and develop risk reports for VaR, mark-to-market PL, stress testing, back testing and scenario analysis results, and monitor the related risk limits;
  • Use Excel VBA tools and Access database to automate the report generation process and facilitate market risk monitoring and analysis;
  • Responsible for pricing model validation for both vanilla financial products and complex structured products, including calculation of credit value adjustment (CVA);
  • Explain changes in mark-to-market values, PL and risk figures;
  • Conduct hedge effectiveness testing under IFRS9;
  • Prepare financial market analysis to provide forward-looking alert on critical risk issues; and
  • Assist other team members occasionally and take up ad-hoc tasks assigned by team head.

Job Requirements:
  • Degree holder in Quantitative Finance, Financial Engineering, Risk Management Science or similar subject;
  • Chartered CFA and FRM holder is preferred;
  • Minimum 6 years of experience in market risk monitoring, reporting and analysis, with hand-on experience in Treasury system implementation being highly desirable;
  • Familiar with techniques in VaR methodology, pricing models for FX and interest rate derivatives and PL attribution;
  • Must have advanced skills in Excel VBA programming and Access database;
  • Knowledge or experience in monitoring and controlling interest rate risk in banking book (IRRBB) will be an added advantage;
  • Fluency in spoken and written English and Mandarin.


Interested candidates please apply in full resume with earliest availability, contact number, current & expected salary to HR Department by e-mail.

Personal data provided will be used for recruitment and related purposes, strictly in accordance with our Personal Data Policy for Applicants for Employment, a copy of which is available on request. Applicants who are not contacted within 6 weeks may consider your applications unsuccessful and the personal data collected will be destroyed after six months.

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