Market Risk Management (FRTB)

Reporting to the department head you will be responsible for mainly the FRTB project in the team.

Responsibilities:

Participate in the new Basel market risk capital requirement project (FRTB) to ensure regulatory compliance
Perform product due diligence and provide quantitative support to the new treasury products
Responsible for the development and monitoring of market risk models
Responsible for the management and monitoring of market risk as well as structural foreign exchange risk
Participate in the implementation and testing of the new treasury system
Review the latest regulatory requirements in market risk area

Requirements:

Degree with major in Risk Management, Quantitative Finance, Finance , Financial Engineering, Statistics or related discipline
Holder of professional qualification – CFA, FRM, CPA or being qualified for Enhanced Competency Framework on Treasury Management
At least 5 years of experience in market risk management areas
Strong knowledge in market risk models, application of VaR and ES, and Basel regulatory requirements
Experience in structural foreign exchange risk management preferred
Strong analytical mindset, possession of good communication and problem-solving skills
Self-starter, add value on day one.
Good command of written and spoken English and Chinese, fluency in Mandarin is an added advantage
Experience with risk management systems (e.g. Murex, Kondor+, etc.) and infrastructure across all asset classes
Proficiency in VBA programming and PC applications