Produce, review and improve CLSA model validation policy and procedure
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Responsible for financial valuation model validation and testing, with coverage in equity derivative model and interest rate derivative model
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Set up the model reserve and parameter reserve framework with product control team and front office
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Liaise with Global risk team for risk modelling, including model update, maintenance and different kinds of risk measure
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Responsible for regular model management tasks, include CVA/DVA, model review and etc.
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Cooperate the IT/Head office Risk quant to setup the checking mechanism for data completeness and data logistics. Consolidate Global head office requirement to IT team and act as a communication bridge
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Provide valuation and risk calculation technical knowledge training to other teams, providing support with them for corresponding analysis
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Work in various risk initiative groups to provide valuation model expertise assistances and coordination
Requirements
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At least 1 year of relevant experience
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Strong background in math, sciences or financial engineering. Master Degree or above is preferred
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Holder of CFA, FRM, or CIPM is preferred, but not a must
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Excellent analytical, quantitative and problem-solving skills
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Strong knowledge of options pricing theory and quantitative models for pricing and hedging derivatives
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Experience with advanced statistical models for empirical estimation of risk models is preferred
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Strong computing and development skills using Python, C/C++, VBA and/or SQL etc.
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Ability to work independently under pressure
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Strong written and verbal communication skills, including effective presentation skills
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Bilingual: English and Chinese
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