Manager - Quantitative Market Risk
- Employer
- Bluemont Consulting
- Location
- Hong Kong, Hong Kong
- Salary
- Negotiable
- Closing date
- Feb 2, 2021
View more
- Job Function
- Risk Management
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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Manager - Quantitative Market Risk Consulting
Job Description
Job Duties and scope of projects:
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.)
- 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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