About this role
Key Areas of Responsibilities
• Produce, review and improve CLSA model validation policy and procedure • Responsible for financial valuation model validation and testing, with coverage in equity derivative model and interest rate derivative model • Set up the model reserve and parameter reserve framework with product control team and front office • Liaise with Global risk team for risk modelling, including model update, maintenance and different kinds of risk measure • Responsible for regular model management tasks, include CVA/DVA, model review and etc. • Cooperate the IT/Head office Risk quant to setup the checking mechanism for data completeness and data logistics. Consolidate Global head office requirement to IT team and act as a communication bridge • Provide valuation and risk calculation technical knowledge training to other teams, providing support with them for corresponding analysis • Work in various risk initiative groups to provide valuation model expertise assistances and coordination
Requirements
• At least 1 year of relevant experience • Strong background in math, sciences or financial engineering. Master Degree or above is preferred • Holder of CFA, FRM, or CIPM is preferred, but not a must • Excellent analytical, quantitative and problem-solving skills • Strong knowledge of options pricing theory and quantitative models for pricing and hedging derivatives • Experience with advanced statistical models for empirical estimation of risk models is preferred • Strong computing and development skills using Python, C/C++, VBA and/or SQL etc. • Ability to work independently under pressure • Strong written and verbal communication skills, including effective presentation skills • Bilingual: English and Chinese
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