Assistant Manager / Senior Officer – Clearing Risk Management (FIC and OTC Clearing Risk Management) (For a 5
Job Responsibilities:
The successful incumbent will work in the Clearing Risk Management (FIC and OTC Clearing) in a Quantitative Risk Modeling Role. He/She will be responsible for:
- Developing tools using advanced financial engineering for product pricing, margining, model calibration, and backtesting for OTC derivative products
- Qualitative and quantitative analysis for evaluating and modeling risk exposures to the clearing house through Value-at-Risk, stress testing, backtesting, and portfolio analytics
- Implementing strategies and performing back-testing of margin methodologies to ensure adequacy of different models and assumptions. This will involve knowledge of swaption and/or equity structured product/derivative pricing models
- Interacting with the Information Technology and OTC Clear to implement systems enhancements, to support new margining techniques and to expand the business
Requirements:
- MS or Ph.D in finance, economics, advanced mathematics, statistics, or related field
- At least 1 years of relevant working experience in pricing model validation, and backtesting, and data mining. Preferably with Desk Quant/Trading Desk Quant experience
- Strong financial knowledge across asset class including equity, interest rates, and FX
- Solid OTC products (swap, swaption, FX, equity derivatives, structure products) pricing skills
- Ability to develop and prototype pricing and backtesting algorithms in various programming language such as VBA, Matlab, C++ are highly desired
- Hand-on experience in design and maintain database on Microsoft SQL Server and MySQL is a plus
- Knowledge of risk modeling techniques for OTC products from prior experience or education is preferred
- The successful candidate must also possess strong oral and written communication skills
- Candidate with more experience will be considered for the position of Assistant Manager
For more information about HKEx, please visit www.hkex.com.hk.
To apply, please submit detailed resume with expected salary by clicking the “Apply online” button. Applicants who are not invited for interview within 4 weeks may consider their applications unsuccessful. Personal data provided will only be used for the purpose of employment application to HKEx.
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