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Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.
Overarching view over models, methodologies, execution for IFRS 9 and Stress testing across Non-retail and Retail portfolios
Explain and defend methodology, approaches and assumptions to stakeholders such as Management, Model Validation, Auditors and Regulators
Additionally, stakeholder management includes discussions with business and credit teams and understanding / solving their concerns
Develop / enhance IFRS 9 and stress test models (PD, LGD, EAD) and approaches for non-retail and retail portfolios
Support stress test execution (RWA) of Pillar 1 Credit Stress Test, IWST, SDST, ICAAP and other regulatory stress tests as required by MAS and HKMA
Support stress test execution (ECLs) for Group ICAAP and HK ICAAP
Conduct in depth analysis / deep dives of stress test results to identify and explain trends
Develop and propose improvements to IFRS 9 and stress test methodologies and processes
Provide ideas for improving the efficiency in the team
Support systemisation initiatives by defining user-requirements and conducting UAT
Evaluate intuitiveness of stress test results
Monitor and feedback regarding model performance from in-use perspective
Mentor and coach junior staff members to enhance team's capabilities
University graduate or post-graduate with major in Finance, Statistics or other quantitative discipline
Minimum 7 years of relevant experience in areas described above
Solid understanding of Basel, MAS and HKMA supervisory requirements, including calculation of EAD/RWA/EL
Understanding of statistical / econometric / modelling theory and technical applications in credit risk
Knowledge of credit and business products
Excellent SAS and advanced programming skills
Experience working with large and complex datasets
Strong team player
High level of communication, writing and presentation skills
We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.