Quantitative Risk Analyst
AXA
HONG KONG
5天前

Description

As partof AXA IM risk management team, perform testing, validation and oversight ofresearch, pricing and investment models used within the Risk Premia investment platform.

Define model validation roadmap, testing plansand change control requirements. Periodically report to AXA IM governance onthe above.

Independently monitor investment activity andportfolio risks.

Missions : Model validation

Model validation

Definitionand monitoring of independent model validation plans for all key modelsimpacting the Risk Premia quantitative investment process : Scope of testing,priorities, methodology, testing framework, acceptance criteria.

Implementationof model testing : Periodic review of critical models and ad hoc review of modelchanges.

Review ofmodel code and documentation.

Propositionsfor model and code documentation enhancements and benchmarking of models usedinternally against alternative industry solutions.

Frequentinteraction with investment teams on model calibration, model enhancements andtesting.

Periodically report to AXA IM governance and AXA IM Chorus Board onthe above.

Investment activity oversight

Independentlyreview and assess proposed changes in investment strategies and signals

Independently monitor investment activity and portfolio risks.

Model risks and positions in AXA IM RM independent tools.

Define internal investment guidelines and stress testing framework andmonitor exposures and limits.

Agree resolutionplans with investment teams in case of breach of limits.

Periodically report to AXA IM governance on the above.

Take thelead on periodic investment performance reviews, new products risk assessmentsand investment process reviews

Qualifications

Education / Qualifications

  • Advanced degree in applied mathematics or financial mathematics, and computer science.
  • Experience

  • A minimum of 7+ years of experience with a quantitative asset management or quantitative bank desk.
  • Knowledge and Skills

  • Programming : Python Mandatory - SQL, SAS, Excel / VBA a plus.
  • Vendor analytics : Risk Metrics, Bloomberg (vendor API libraries or trading analytics a plus), Reuters

    Language : English (Mandarin, French a plus)

    Competencies

  • Strong analytical skills.
  • Pragmatic, result-oriented, autonomous.

    Ability to challenge senior management and have an independent mind

    Good presentation skills for both client and senior stakeholder interaction

    What We Offer

    We are proud to foster a high-performance culture, which means that we seek to recruit and retain people who are not only technically-

    skilled but also globally-minded, innovative and able to leverage their unique perspectives and life experiences to support our success as a company.

    AXA IM is committed to building an inclusive culture, valuing diversity and supporting the career progression of all employees.

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