Assistant Vice President - Group Risk Management (Quantitative Risk Management)
To develop and broaden the roles and responsibilities of the Group Quantitative Risk (GQR) function within the Group Risk Management forming part of the 2nd line risk defense of the HKEX Group.
- Perform independent validations on models used across the HKEX and properly document the validation work
- Provide effective challenges to key modelling elements including model assumptions, limitations, inputs, outputs, methodology, implementation, monitoring and control, etc.
- Ensure any identified model risk issues are effectively communicated with model stakeholders and appropriately remediated
- Work with model developers and key stakeholders on model ongoing monitoring and improvement
- Assist in develop, implement and enhance the model risk management policies, standards, procedures, controls and the model inventory management system
- Oversee and ensure the adherence to model risk policies and regulatory guidance across all business lines, including model identification/attestation, model development, model risk rating, ongoing monitoring, control environment and reporting
- Build strong working relationships with key partners across the HKEX, including 1st and 3rd line of risk defence
- Educate on modelling best practices and spread model risk awareness within the HKEX
- Master's degree or equivalent in quantitative finance, mathematics, economics, computer science or related discipline.
- Professional risk qualification (or studying towards) would be beneficial (e.g. CFA, FRM).
- 3-7 years of experience in model validation, model development, model risk audit or quantitative research
- Experience with developing or validating risk models (i.e. market risk, credit risk and liquidity risk models), initial margin models and stress testing models is strongly preferred
- Hands-on experience with model governance framework is strongly preferred
- Relevant working experience in an Exchange or Clearing House and familiarity with the requirements of CPMI-IOSCO is strongly preferred
- Understanding of the latest regulatory standards and industry practice for model risk management
- Familiarity with equity derivatives is preferred
- Strong and confident communicator both verbally and in written form. The successful candidate will need to have strong influence across the organization and will need to communicate complex risk problems to senior management and broader audiences where required.
- Good judgment and clear decision-making ability.
- Proficient with Excel, VBA and preferably the ability to work with programming languages such as Python and SQL.
- Strong quantitative risk skills
- Strong interpersonal skills.
- Ability to confidently consider options and develop risk mitigations.
- Familiarity and knowledge of regulatory environment of CCPs in both HK and Europe is preferable.
- Demonstrates sound and reasoned judgment at all times
- Strong attention to detail
- Motivated self-starter
- Commercially aware
- Quick learner but willing to ask questions if unsure
- Good communicator, negotiator and organiser, sympathetic to overall work demands within department
- Able to work as individual but liaise effectively with other department or group stakeholders
- Ability to communicate effectively at all levels and positively influence others
- Ability to rapidly grasp new ideas and to think laterally and innovatively
- Determined and results focused