Assistant Manager, Model Risk

About the role

CITIC CLSA is looking for an Assistant Manager, Model Risk. The role covers the validation and testing of financial valuation models, including equity and interest rate derivatives, and works closely with the global risk team, product control and the front office.

Key responsibilities

• Produce, review and improve the model validation policy and procedure
• Handle financial valuation model validation and testing, covering equity derivative and interest rate derivative models
• Set up the model reserve and parameter reserve framework with the product control team and front office
• Liaise with the Global risk team on risk modelling, including model updates, maintenance and risk measures
• Carry out regular model management tasks such as CVA/DVA and model reviews
• Work with IT and the Head Office risk quant to set up checks for data completeness and data logistics, and act as a bridge between Global requirements and IT
• Train other teams on valuation and risk calculation techniques and support their analyses
• Contribute to risk initiative groups with valuation model expertise

Required profile

• At least 1 year of relevant experience
• Strong background in mathematics, science or financial engineering; Master's degree or above preferred
• Preferred: CFA, FRM or CIPM qualification
• Bilingual: English and Chinese

Required skills

• Options pricing theory and quantitative models for pricing and hedging derivatives
• Advanced statistical models for empirical estimation of risk models preferred
• Computing and development skills in Python, C/C++, VBA and/or SQL
• Analytical, quantitative and problem-solving skills, independent work under pressure, and strong written and verbal communication