AVP - Market Risk Management

Key Responsibilities:

Perform day-to-day risk management of FICC and Equity positions, analyze large P/L events, VaR movement, ensure limits are well monitored and properly reported, identify material risks and propose risk mitigations;
Create and produce/automate risk monitoring reports (daily, weekly, monthly) with a number of risk management measures including performance and attribution analysis, concentration analysis, stress testing, beta and VaR calculation etc on regular basis;
Ensure VaR and capital calculations are correct and reviewed in a timely manner;
Development and modification of simple mark risk models or tools to perform necessary analysis on the market or the positions/VaR moves;
Conduct ad hoc investigations and analysis into risk, market or modelling issues as needed;
Perform weekly/monthly price verification and analysis to ensure pricing to fair value;
Liaise regularly with FO trading in the implementation of risk controls and ensure that issues identified (limit breach, incomplete or inadequate risk monitoring, system problems) are addressed in a timely manner;
Provide reporting to local and HQ Business, Risk and Regulatory stakeholders;
Collaborate with other corporate functions on issues of common interest (e.g. Finance/Product Control on bookings, valuation and P&L, operations etc.)

Requirements:

Quantitative background in Science/Mathematics/Financial Engineering/Risk Management, CFA/FRM is a plus
Strong excel and VBA macro skills are a must; other IT skills e.g. SQL and database are preferred;
Minimum 5 years working experience in market risk or product control function in a global or Chinese investment bank/securities house
Sound knowledge and experience in the equity/FICC markets and products, VaR and related risk management tools
Good communication skills in English and Mandarin

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