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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.
Play a key role in strategic changes to the Bank's Enterprise Stress Test platforms to streamline the end to end Credit RWA stress testing process. This includes collaborating with technology on systemisation initiatives, defining user-requirements and conducting UAT, as well as feeding into the design process.
Take a lead in identifying areas for potential process improvements and help to drive efficiency across the entire RWA stress testing workstream
Implement process improvements by automating / standardising processes and reports
Support stress test execution of Pillar 1 Credit Stress Test, IWST, SDST, ICAAP and other regulatory stress tests as required by MAS and HKMA
Initial focus on non-retail portfolio stress test projections (covering RWA, NPA, SP and ECL), but scope may expand to support other portfolios over time.
Generate stress test reports and presentations, including committee submissions and filling regulatory templates
Conduct in depth analysis / deep dives of stress test results by querying data sets to identify and explain trends
Assist in scenario development activities covering bank-wide Stress Tests including the Internal Capital Adequacy Assessment Process (ICAAP) and regulatory Pillar 1 exercises
Liaise with external vendor and internal stakeholders to produce Macro Economic Variables (MEVs) for stress tests
Use credit risk knowledge to sense check the stress test results, evaluating and challenging the intuitiveness and integrity of the outputs
Excellent SAS and advanced programming skills (3+ Years)
Solid understanding of Basel, MAS and HKMA supervisory requirements, including calculation of EAD/RWA/EL
Knowledge of credit and business products
Experience working with large and complex datasets
Strong team player
High level of communication, writing and presentation skills
University graduate or post-graduate with major in Finance, Statistics or other quantitative discipline
Minimum 5-7 years of relevant experience in areas described above
We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.