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Manager, Credit Risk Modelling - Large Corporate Bank
Market Risk, AVP (Corporate Investment Bank)
about the company
Our client is a leading Corporate and Commercial Bank with a strong presence in Greater China.
about the job
- You will ensure the bank's valuation framework is fully compliant with internal policies/guidelines and external regulatory requirements.
- You will advise and assist senior management on reviewing valuation policy.
- You will perform pricing model validation.
- You will ensure pricing model and market data inputs are correctly applied to new products.
- You will develop and perform CVA calculation.
skills & experiences required.
- Degree holder in Financial Engineering / Quantitative Finance / Risk Management / Mathematics / Physics or relevant discipline
- At least 4-6 years of relevant working experience, including 2-3 years of experience in valuation, model validation, fair value adjustment at global banks
- Familiar with valuation techniques of standard FICC products, such as FX forward, NDF, FX vanilla/digital option, interest rate swap, cross currency swap, interest cap/floor and swaption
- Knowledge in industry trend of valuation adjustment including close-out cost, CVA, early termination and model risk etc.
- Experience in calculation of valuation adjustments of OTC derivatives is crucial
- Good system skills in operating Treasury systems, e.g. Murex, Bloomberg and Reuters are preferred
- Good interpersonal and communication skills in both English and Mandarin (both oral and written)
- Strong Chinese typing skills - a MUST
To apply online, please click on the link below. Alternatively, for a confidential discussion please contact Lily Tu on + 852 2232 3472 or email: [email redacted, apply via Jobable]
|Language||English, Cantonese, Mandarin (Putonghua)|