Senior Market Risk Manager

China Everbright Bank
Hong Kong, Hong Kong
Dec 11, 2019
Dec 21, 2019
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
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.

Similar jobs

Similar jobs