Assistant Vice President, Market Risk Management

Responsibilities:

• To monitor transactional activities to ensure all transactions comply with the Bank’s market risk management and product risk rating policies and relevant regulatory requirements (ie Head Office and HKMA)
• To prepare risk management reports to management
• To collaborate with various teams to understand the Bank’s investment and treasury products, identifying and assessing potential risks including market, product, counterparty credit risks
• To formulate, develop and maintain mark-to-market estimations and internal pricing methodology for treasury products
• To assist in refining, developing, and enhancing risk infrastructure, internal risk policies and procedures to strengthen the risk governance
• To participate in the implementation and enhancement of Fundamental Review of Trading Book (FRTB) Standardized Approach (SA) Framework, including risk data aggregation, input preparation and model testing
• To contribute in the system automation and workflow streamlining initiatives for regulatory, market risk monitoring and reporting
• To support and maintain IRRBB behavioral model and automatic option calculation.
• To perform Trading Book and Investment Portfolio stress tests, as well as Bank-wide and Climate Risk Market Risk-related stress tests
• To regularly perform product risk rating assessment checking and update product risk rating for treasury products and unit trust on regular basis
• To provide mark-to-market checking to facilitate the CSA reasonableness checking – Collateral Management
• To respond to ad hoc requests from the business, risk management users, internal audit, compliance or regulators

Requirements:

• University degree in Risk Management Science, Quantitative Finance, Statistics, Financial Engineering or quantitative discipline

• Minimum 5 years’ experience in market risk management and/or product control

• Solid understanding of market risk methodologies, including sensitivities-based approaches and capital charge calculation under FRTB-SA

• Good knowledge of the nature and exposure of treasury products and structured products

• In-depth knowledge of regulatory requirements with respect to risk management.

• Experience in IRRBB measurement preferred

• Sound knowledge of Summit Bloomberg and Refinitiv

• Hand-on experience with data analytics and automation tools such as SQL, Power BI, VBA

• Excellent analytical, interpersonal, communication, and presentation skills. Ability to work effectively in a stable environment

• Strong command of both written and spoken English and Chinese (Cantonese and Mandarin)

• Holder of professional qualification – CFA, FRM or Enhanced Competency Framework on Treasury Management

Please send your application with full resume indicating current and expected salary, and quoting the above reference no via Apply now.

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