Perform independent validations on models used across the HKEX and properly document the validation work
Provide effective challenges to key modelling elements including model assumptions, limitations, inputs, outputs, methodology, implementation, monitoring and control, etc.
Ensure any identified model risk issues are effectively communicated with model stakeholders and appropriately remediated
Work with model developers and key stakeholders on model ongoing monitoring and improvement
Assist in develop, implement and enhance the model risk management policies, standards, procedures, controls and the model inventory management system
Oversee and ensure the adherence to model risk policies and regulatory guidance across all business lines, including model identification / attestation, model development, model risk rating, ongoing monitoring, control environment and reporting
Build strong working relationships with key partners across the HKEX, including 1st and 3rd line of risk defense
Educate on modelling best practices and spread model risk awareness within the HKEX.
Job Requirements :
Master’s degree or equivalence in quantitative finance, mathematics, economics, computer science or related discipline.
Professional risk qualification (or studying towards) would be beneficial (e.g. CFA, FRM).
1-7 years of experience in model validation, model development, model risk audit or quantitative research. Less experienced candidate will be considered as Associate,
Experience with developing or validating risk models (i.e. market risk, credit risk and liquidity risk models), initial margin models and stress testing models is strongly preferred
Hands-on experience with model governance framework is strongly preferred
Relevant working experience in an Exchange or Clearing House and familiarity with the requirements of CPMI-IOSCO is strongly preferred
Understanding of the latest regulatory standards and industry practice for model risk management
Familiarity with equity derivatives is preferred.
Strong and confident communicator both verbally and in written form. The successful candidate will need to have strong influence across the organization and will need to communicate complex risk problems to senior management and broader audiences where required.
Good judgment and clear decision-making ability.
Proficient with Excel, VBA and preferably the ability to work with programming languages such as Python and SQL.
Strong quantitative risk skills
Strong interpersonal skills.
Ability to confidently consider options and develop risk mitigations
Familiarity and knowledge of regulatory environment of CCPs in both HK and Europe is preferable.
Demonstrates sound and reasoned judgment at all times
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