Model Risk - Risk Management -Up to Director level (Model Risk/ Model Validation)
The individual will be responsible for leading risk analytics team to cover risk models development, maintenance, back testing, and validation. Risk models include market (e.g., VaR) and credit/counterparty risk models (e.g., SIMM), margin financing risk model etc.
This role will also be responsible for enhancing existing model risk framework at enterprise level, this includes revising existing policies and procedures, monitoring the model life cycle events and escalate to the CRO if any issues.
Duties & Responsibilities:
- reports to CRO and manages the risk analytics team
- Responsible for SIMM model implementation, VaR Model back testing, credit provisioning model validation.
- Maintaining and enhancing enterprise model risk framework, monitoring model life cycle events and identify key model risk issues
- Maintain up to date knowledge of risk management practices in order to support PD/EAD calculation, initial margin calculation, risk capital calculation, VaR calculation, stress testing, back testing, etc.;
- Participate in project related tasks such as new business/ product approval, risk system implementation and independent model validation;
- Perform regular independent model validation, draft validation report and follow up model remediation issues.
- University degree in Financial Engineering, Quantitative Finance, Applied Math, Statistics, Risk Management or related discipline;
- Advanced degree/ FRM / CFA qualification is an advantage;
- 5 years of experience in market or counterparty credit risk management. Model validation, model development, model risk or quantitative research experienced candidate will also be considered;
- Experience with developing or validating risk models (i.e. VaR model, derivatives pricing model, IFRS9 ECL, LTV model, standard initial margin model), or implementing FRTB, SACCR and stress testing is strongly preferred;
- Hands-on experience with model governance framework is strongly preferred;
- * Understanding of the latest regulatory standards and industry practice for model risk management is strongly preferred;
- Solid product and risk management knowledge in fixed income, FX, equity derivatives, and structured products;
- Strong programming skill (VBA/Python/R/SQL) is an advantage;
- Strong communication skills and writing skills