We are seeking a highly motivated and experienced Vice President for Risk Management (Risk Quantification) to join our client's team in Hong Kong. This role involves the design, development, and implementation of valuation and risk models, including those for equity and FICC derivatives. The successful candidate will be integral in enhancing our quant library and risk platforms while conducting rigorous testing and documentation.
Key responsibilities will include delivering risk models to production environments, monitoring ongoing model performance, and performing detailed scenario analyses. Additionally, the role demands development of cutting-edge quantitative tools to support comprehensive risk analytics. The ideal candidate will also explore opportunities to optimise performance using distributed computing, cloud-based solutions, and GPU acceleration technologies where applicable.
- Design and develop valuation and risk models, covering sensitivities, stress testing, VaR/ES, and CCR/CVA
- Implement models within quant libraries and enterprise risk platforms
- Carry out detailed unit testing and maintain thorough documentation
- Deploy and maintain models in a production environment
- Monitor model effectiveness and perform risk scenario analysis
- Develop quantitative tools to support risk analytics operations
- Optimise performance through advanced computing solutions, including GPUs and cloud technologies
Requirements:
- Advanced degree (PhD or Master's) in Mathematics, Finance, Engineering, Financial Engineering, Economics, Statistics, Physics, or Computer Science
- Strong quantitative foundation with deep understanding of mathematics in derivatives pricing and risk quantification
- Proficient in object-oriented programming and design patterns, with practical experience in debugging and reverse engineering
- Minimum of 3 years’ hands-on experience in risk model development for derivatives at a top-tier bank or securities firm; international bank experience preferred
- Working knowledge of C++ or Python is essential
- Familiarity with QuantLib, GPU programming (CUDA/OpenCL), and machine learning techniques is highly advantageous
- Excellent communication skills in both English and Mandarin, with the ability to explain complex quantitative concepts to non-expert stakeholders
This is an exciting opportunity for an innovative and detail-oriented professional seeking to play a pivotal role in shaping a robust risk management framework. The position offers exposure to complex financial instruments and cutting-edge analytical techniques within a dynamic team environment.
