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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.
The team is responsible for both regulatory stress testing and general provisioning under IFRS9, including model development, execution, reporting and stakeholder management. This role will focus on developing retail models for IFRS 9, Stress Testing models and executing stress tests under ICAAP, IWST and Pillar 1.
There is an expectation to eventually rotate responsibilities within the team to enhance integration and support career development.
The key responsibilities of this role are as follows:
Develop IFRS 9 models (PD, LGD, EAD) for AIRB portfolio
Develop ST models (PD, LGD, EAD) for AIRB portfolio
Develop approach for general provisioning and stress testing for SA portfolio
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
Explain and defend methodology, approaches and assumptions to stakeholders such as Management, Model Validation, Auditors and Regulators
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 5 years of relevant experience.
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.