Quantitative Risk Management - Group Risk Management - AVP - Associate (Model Risk/ Model Validation

1 day left

Employer
Hong Kong Exchanges and Clearing Limited
Location
Hong Kong, Hong Kong
Salary
Competitive
Posted
Sep 19, 2021
Closes
Oct 19, 2021
Ref
11834831
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Job Responsibilities:
  • 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 defense
  • Educate on modelling best practices and spread model risk awareness within the HKEX.

Job Requirements:
  • Master's degree or equivalence in quantitative finance, mathematics, economics, computer science or related discipline.
  • Professional risk qualification (or studying towards) would be beneficial (e.g. CFA, FRM).
  • 1-7 years of experience in model validation, model development, model risk audit or quantitative research. Less experienced candidate will be considered as Associate,
  • 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

Applicants who do not hear from us within 6 weeks may consider their applications unsuccessful. Personal data provided will only be used for the purpose of employment application to HKEX.

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