Manager - Quantitative Market Risk

Employer
Bluemont Consulting
Location
Hong Kong, Hong Kong
Salary
Negotiable
Posted
Jan 05, 2021
Closes
Feb 04, 2021
Ref
9679634
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Manager - Quantitative Market Risk Consulting

Job Description

Job Duties and scope of projects:
  • Develop market risk management strategies including market risk capital, limit framework, and model risk governance framework.
  • Develop review valuation policies & procedure and redesign organization structure for optimizing market risk management
  • Provide quantitative support to senior stakeholders, especially in financial pricing models
  • Basel II.5 IMA implementation or Fundamental Review of Trading Book
  • Conduct model verification & validation on quantitative risk and valuation models, and employ advanced mathematical programming for different financial instruments, such as exotic and structured derivatives valuation, Value-at-risk, and Expected Shortfall modeling.
  • Practical regulations implementation, common market risk, treasury management systems, and the regulatory requirements on treasury and balance sheet management. For instance (Interest rate in the banking book, Liquidity Risk, Asset & Liability Management, Counterparty Credit Risk, and Fund Transfer Pricing, etc.)
Requirements:
  • Bachelor's Degree in Financial Mathematics, Statistics, Quantitative Finance, Risk Management, or relevant discipline.
  • CFA/ACCA, CQF, FRM, or QRM qualification.
  • Strong hands-on coding & technical proficiency in Python, C#, R, Matlab, VBA, and SQL
  • At least 4 years in Quantitative Research, Market Risk management in different asset classes and complex financial products, including fixed income and equity, etc.
  • Native in English and Mandarin
  • Familiar with Basel II.5 and Basel III FRTB regulations implementation; Treasury and risk system projects

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