Valuation Manager (Risk Management) - Chinese Commercial Bank

Job Title: Valuation Manager (Risk Management) - Chinese Commercial Bank
Contract Type: Permanent
Location: Hong Kong, Hong Kong
Salary: Negotiable
Reference: BBBH8246_1537958854
Contact Name: Christina Lau
Contact Email:
Job Published: September 26, 2018 18:47

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.