Market Risk AVP

A large Chinese investment bank is looking mid level Market Risk professional to support their Equity and FICC market/products

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 with a number of risk management measures including performance and attribution analysis, concentration analysis, stress testing, beta and VaR calculation etc
• 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;
• 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;

Requirements:

• Quantitative background in Science/Mathematics/Financial Engineering/Risk Management, CFA/FRM is a plus
• 5+ years of working experience in market risk function in an investment bank/securities house
• Strong excel and VBA macro skills
• Sound knowledge and experience in the equity/FICC markets and products
• Good communication skills in English and Chinese (Mandarin is essential)