Develop and maintain market risk and quantitative financial models covering Trading, Investment, and Banking Book portfolios to support risk management, stress testing, regulatory requirements, and strategic decisionmaking, in close collaboration with relevant teams.
Job description.
Develop, implement, maintain, and improve risk models for both Trading and Investment risks and Banking Book risks.
Develop, maintain, and improve models to ensure proper and robust behavioral assumptions use in asset-liability and liquidity management.
Develop, maintain, and improve risk models and quantitative financial models, i.e. liquidity run-off, interest term structure and FX projection models used in stress testing for both internal capital assessment and regulatory requirement.
Validate and review derivative pricing models proposed by business units to ensure appropriate valuations on financial products.
Develop and maintain database management for both market data and data in balance sheet used in assumptions and modelling.
Jointly develop data driven balance sheet road map to be used as an alternative for bank's strategic direction.
Collaborate with related teams on analytical approach and technique.
Provide necessary guidance for junior colleagues and/or share knowledge with the teams.
Qualifications.
Bachelor's or master's degree in risk management, Statistics, Mathematics or other related fields.
Preferably 37 years of work experience in related modeling fields, such as customer behavior modeling in the financial sector, financial product behavior analysis, or market risk.
Experience in using SAS, Python, SQL, R.
Able to use quantitative tools, statistical modelling techniques, and data mining.
Strong analytical and organizational skills with ability to work on multi-task and self-driven personality.
