VP, Market Risk

Responsibilities:

• Prepare daily market risk reports and monitor market risk limits
• Perform risk analyses on treasury activities
• Assist in reviewing respective risk management policies and procedures
• Participate in system implementation projects;
• Perform qualitative and quantitative validation of models related to market risk and interest rate risk;
• Regular review on existing pricing methodology, assumptions, limitation of models;
• Provide comments on new products assessment from model perspective (e.g. valuation, greeks, model parameters);
• Perform risk analysis in order to assist management in decision making; and
• Perform other ad hoc projects or assignments.

Requirements:

• University graduate in Risk Management, Quantitative Finance, Statistics, Financial Engineering, Science or related disciplines;
• Professional qualification of Certified Senior Treasury Management Professional (CSTMP) is preferred and holder of CFA or FRM will be an advantage;
• Minimum 5 years of validation/ quantitative experience in risk functions in financial industry;
• Experienced in FX/IR valuation model review is preferred;
• Good programming skills in Excel VBA and Python is plus;
• Well-versed in spoken and written English and Chinese; Putonghua would be an advantage