Job Description
Our client is a state-owned commercial bank with growing presence. To cope with the continuous growth of the business, they are looking for a seasoned risk professional to join as Valuation Manager (under Market Risk team).
Reporting into the market risk team head, you will work alongside a sizeable team and be responsible for the following duties:
- ensuring bank's valuation framework is in compliance with internal and external regulatory guidelines
- advising and assisting senior management on valuation policy review
- performing pricing model validation
- ensuring pricing model and market data input accuracy for new products
- preparing and explaining monthly valuation adjustment statistics to senior management and regulatory parties
- performing monthly independent price verification (IPV) to ensure right application of valuation model and input
- developing and performing credit value adjustment (CVA) calculation
- performing market risk and counterparty credit risk management as appropriate
The ideal candidate will demonstrate the following qualities:
- degree holder in financial engineering / quantitative finance / risk management / mathematics / physics
- minimum 5 years experience in valuation, model validation, fair value adjustment at sizeable banks
- familiar with valuation techniques of standard FICC products inclusive of FX forward, NDF, FX, vanilla/digital option, interest rate swap, cross currency swap, interest cap/floor and swaption
- experience and knowledge in close-out cost, CVA, early termination and model risk
- experience in calculation of valuation adjustments of OTC derivatives
- system knowledge in Murex, Bloomberg and Reuters preferred
- strong excel VBA and Access, R skills
- proficiency in both English and Chinese will be required, fluency in typing Chinese is a Must
Click "Apply Now" to apply for this position or call Christina Lau at +852 3180 4934 for a confidential discussion. All information collected will be kept in strict confidence and will be used for recruitment purpose only.
