Responsibilities: 

• Assist business units (trading book and banking book) to take the lead of the derivative models life cycle in treasury systems, which covers multiple asset classes e.g. FX, Interest Rate, Equity, Precious Metal, Credit Derivatives.
• Act as model owner which involves the following tasks:
• Drive the implementation of derivative models on 3^rd party treasury systems (e.g. Murex, Bloomberg, Numerix)
• Assess the appropriateness of model selected by vendors
• Conduct model testing for any model changes or implementations by vendors
• Participate in model validation process which is conducted by independent parties
• Submit models for internal approvals
• Assess model risk regularly
• Conduct model backtesting and risk monitoring
• Liaise with back office departments such as Risk Management, Finance on the proposed derivative models in treasury systems
• Initiate model validation activities and tackle related issues found
• Draft and maintain relevant model documents, policy and procedures
• Lead the junior staff to accomplish the model owner’s duty

Requirements:

• Bachelor Degree or above in engineering, mathematics, statistics, physics, or other quantitative subjects
• At least 5 years related experiences in banking or similar industry
• Knowledge of financial market derivatives products
• Strong knowledge of derivative models in valuation / risk sensitivities
• Strong analytical mind
• Willing to take ownership of his/her work
• Good command in spoken and written English and Chinese, including Putonghua