Specialist, Market Risk Model Validation
5 days ago
**Job Responsibilities:
- To conduct pre and post-implementation validation of derivatives and market risk models, in line with best practices, used in the Bank for pricing and risk management, including:
- (i) assessing model inputs, model assumptions, market conventions, model theories, model limitations and mitigating factors,
- (ii) developing independent models for FX, IR, Credit, Equity and Commodity derivatives,
- (iii) developing automation tools for model validation activities,
- (iv) developing appropriate controls to mitigate for model risk and market uncertainty
- To identify sources of model risk by thoroughly and comprehensively review all model components and developmental evidence.
- To engage with stakeholders (Market Risk, Front Office Quant / Structuring / Trading Teams) effectively and maintain productive working relationships.
- To provide healthy challenge to model developers and ensure models approved are of highest standard.
- To keep abreast with market and regulatory changes. To be aware of Regulators’ (BNM, MAS, HKMA) requirements and ensure adherence.
- To clearly and concisely communicate the model review results to the rest of the team, other functions and senior management.
- To present and explain the validation results to the management committee for endorsement and approval and take ownership of some of the team’s internal initiatives and projects and contribute to the various bank-wide projects that require quantitative technical expertise.
**Requirements**:
- Advanced Degree (Masters or PhD) in Quantitative Discipline (Physics, Statistics, Mathematics, Finance, Engineering etc.) from recognized universities.
- Minimum 5 years' working experience in developing or validating quantitative pricing and risk models in traded market risk. Other strong analytical and quantitative analysis experience will be considered.
- Good understanding of the trading & treasury business (across all asset classes) and models; and good understanding of the regulatory framework.
- Advanced programming skills in C++, Mathlab, VBA, R, Python etc
- Meticulous, organised and self-assured with ability to interact well with various working levels
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