Responsibilities:
- Perform day-to-day risk management of FICC and equity positions, analyse large P/L events, VaR movement
- Create and produce/automate risk monitoring reports (daily, weekly, monthly)
- Ensure VaR and capital calculations are correct and reviewed in a timely manner
- Development and modification of simple market risk models or tools
- Perform weekly/monthly price verification and analysis to ensure pricing to fair value
- Liaise regularly with Front Office trading in the implementation of risk controls
Requirements:
- Quantitative background in Science/Mathematics/Financial Engineering/Risk Management, CFA/FRM is a plus
- Strong excel and VBA macro skills are a must; other IT skills e.g. SQL and database, are preferred.
- Minimum 5 years working experience in market risk or product control function in a global or Chinese investment bank/securities house
- Sound knowledge and experience in the equity/FICC markets and products, VaR and related risk management tools
- Good communication skills in English and Mandarin
