Assistant Manager, Model Risk, Risk
Core
Produce, review, and improve financial valuation model validation policies and procedures for equity and interest rate derivatives.
Role type
Assistant Manager, Model Risk
Builds
Model validation frameworks, risk measures, and data checking mechanisms for derivative products.
Domain
Financial services, quantitative risk modeling
Deliverable
production ML models
Required skills
Financial valuation model validation, equity derivative modeling, interest rate derivative modeling, CVA/DVA calculation, options pricing theory, advanced statistical models, Python, C/C++, VBA, SQL, data completeness checking, quantitative analysis
Preferred skills
Master's degree or above, CFA/FRM/CIPM certification, experience with empirical estimation of risk models, bilingual English and Chinese
Technologies
Python, C/C++, VBA, SQL
Responsibilities
Produce and improve model validation policy and procedure, set up model reserve and parameter reserve framework, liaise with Global risk team for model update and maintenance, cooperate with IT to setup data checking mechanism, provide technical knowledge training to other teams
Seniority
Mid-level, hands-on IC
