Senior Analyst, Market Risk

• Responsible for monitoring the Bank’s investment portfolio, including bond, FX, IR, commodity and credit products, and performing daily market risk analysis such as market data, pricing model, sensitivity model, VaR model
• Implement IFRS9 hedge accounting, CSA and ARR discounting for FX and IR products
• Perform stress testing for market risk, including reverse stress test
• Implement market risk FRTB project, CVA/DVA and PFE
• Degree holder or above with major in Financial Engineering, Statistics, Mathematics or equivalent qualifications at HKQF level 5, with FRM or CFA qualification is an advantage
• Minimum 3 years’ relevant experiences in banking or financial sector, with intensive knowledge on pricing model and market risk models for FX, IR and Credit products
• Familiar with market risk system, such as Summit, KRM, Bloomberg
• Strong programming skill is a must
• Knowledge of Partial Differential Equation and Stochastic Differential Equation is a plus

Candidate with more experience will also be considered as Manager, Market Risk