Associate / Senior Associate, Model Risk Management

About the role

Report to the Head of model risk team and the Head of Risk Management to assist with model risk management of the Company. Uphold a stringent risk monitoring approach to ensure model risk is in line with regulatory and company policy.

Key responsibilities

• Evaluate conceptual soundness of models by assessing input data, model theory (including model assumptions and limitations), model construction and model testing in relation to known model use cases
• Review adequacy of testing performed by model owners and design and execute efficient independent model testing both standardized and tailored to specifics of the model's type, implementation and usage
• Document validation approach, observations, findings and conclusions in comprehensive validation reports
• Communicate results of model validation tests and observations within the team and to relevant stakeholders, where appropriate
• Participate in risk management systems implementation and User Acceptance Testing (UAT)
• Participate in daily risk monitoring and reporting duty

About you

• Degree in a quantitative discipline, with strong Mathematics, Statistics and Analytical skills
• Experience in quantitative model development or validation is an advantage
• Programming skills in Python, VBA, SQL
• CFA/FRM certification is highly preferred
• 2+ years proven technical background in financial products, preferably with experience in model risk management and control function within banking or financial services
• Solid knowledge and experience of financial markets and products (FICC, OTC derivatives) and understanding of credit and counterparty risk metrics
• Strong communication and interpersonal skills, including ability to explain sophisticated technical concepts in a clear way
• Broad market and finance knowledge in different asset class areas and BASEL is an advantage
• Good command of written and spoken English and Chinese including Putonghua