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Implement new treasury system (including UATs) for risk measurement, sound pricing methodology and efficient operation workflow purposes;
Design and develop risk reports for VaR, mark-to-market PL, stress testing, back testing and scenario analysis results, and monitor the related risk limits;
Use Excel VBA tools and Access database to automate the report generation process and facilitate market risk monitoring and analysis;
Responsible for pricing model validation for both vanilla financial products and complex structured products, including calculation of credit value adjustment (CVA);
Explain changes in mark-to-market values, PL and risk figures;
Conduct hedge effectiveness testing under IFRS9;
Prepare financial market analysis to provide forward-looking alert on critical risk issues; and
Assist other team members occasionally and take up ad-hoc tasks assigned by team head.
Degree holder in Quantitative Finance, Financial Engineering, Risk Management Science or similar subject;
Chartered CFA and FRM holder is preferred;
Minimum 6 years of experience in market risk monitoring, reporting and analysis, with hand-on experience in Treasury system implementation being highly desirable;
Familiar with techniques in VaR methodology, pricing models for FX and interest rate derivatives and PL attribution;
Must have advanced skills in Excel VBA programming and Access database;
Knowledge or experience in monitoring and controlling interest rate risk in banking book (IRRBB) will be an added advantage;
Fluency in spoken and written English and Mandarin.
Interested candidates please apply in full resume with earliest availability, contact number, current & expected salary to HR Department by e-mail.
Personal data provided will be used for recruitment and related purposes, strictly in accordance with our Personal Data Policy for Applicants for Employment, a copy of which is available on request. Applicants who are not contacted within 6 weeks may consider your applications unsuccessful and the personal data collected will be destroyed after six months.