Quant Analyst recruitment
RISK MEASUREMENT AND MANAGEMENT DEPARTMENT:
• SRM is responsible for the measurement and reporting of all credit risk and market risk data for bank. SRM also contains bank’s independent market risk management and operational risk coordination functions. Some of the key functions of SRM include:
- Measuring Value at Risk (VaR), banks in house risk and capital measure;
- Monitoring VaR against limits and back testing vs. PL;
- Analyzing risk measurement models;
- Operational Risk;
- Scenario analysis (i.e. stress testing);
- Liaising with local regulators with respect to risk measurement.
MAIN DUTIES AND RESPONSIBILITIES:
• The candidate will have the following responsibilities relating to the following aspects of the role:
- Analyze risk measurement models;
- Analyze market risk exposures for all trading activities in the Shanghai Branch. Conduct SRM review of daily Branch market risk report, market conditions and provide updates on trading activities;
- Provide independent market risk analysis and advice (e.g. regular briefings on entity market risk trends, provision of information on market risk exposures, market risk methodologies and market risk policy) as required to local entity management;
- Monitor local entity VaR limit utilization and conduct limit reviews as required;
- Ensure appropriate SRM analysis of impact of New Business initiatives for the Shanghai Branch;
- Liaise as required with other bank departments, internal audit, external audit and external regulators;
- Provide support for global and regional SRM projects as required.
CANDIDATE REQUIREMENTS:
• The candidate should have the following experiences and skills:
- Graduate / Post-Graduate degree in Finance/Statistics/Economics/Sciences/Mathematics (Masters degree or PhD preferred);
- Excellent written and verbal Chinese and English communication skills;
- Knowledge of financial products and financial markets;
- Strong analytical skills with basic understanding of market risk methodologies and operational risk;
- Market risk systems;
- Spreadsheet and database skills (incl. basic knowledge of VBA).