Description

• 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

• 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