Senior Associate - Risk Consulting - FS Advisory - Hong Kong

Job Profile Summary

Job Description & Summary

Market Risk Management

• Developing market risk management strategies and framework, including but not limited Market Risk Appetite and Market Risk Capital and Limit Framework. Experience in Basel II.5 IMA implementation or Fundamental Review of Trading Book (FRTB) is highly preferred
• Developing policies, processes and organization structures that supports effective market risk management
• Conducting model validation on market risk models and valuation models for financial instruments. Knowledge in exotic or structured derivatives valuation and VaR/ ES models is preferred
• Implementation of common market risk / Treasury management systems (e.g. Murex, RiskManager, Kondor+ or Numerix) and relevant implementation/ operation experience is preferred
• Experience in regulations implementation and system enhancement project is preferred.
• Proficient in data operation and financial modelling tools: SQL, R or Excel VBA

Valuation and Treasury Risk Management

• Developing and validating valuation models with advanced mathematical program/ coding for various financial products including but not limited to plain vanilla derivatives and structured or exotic derivatives (e.g. Accreting Bermudan swaption, CMS Swap, Range Accrual Note, etc.)
• Developing and reviewing valuation policies and procedure such as valuation adjustment (ie. XVA, CVA, FVA etc.), independent pricing validation (IPV), bid offer reserve and fair value hierarchy etc.
• Providing valuation and quantitative support to both internal and external stakeholders. Knowledge in different financial pricing models (e.g. Stochastic Volatility Model, Local Volatility Model, Black model, Hull white model) is essential.
• Experience of economic or statistical projection techniques (e.g. time series, Logistic regression is preferred.
• Understanding common practices and regulatory requirement on various treasury and balance sheet management function is preferred. For example, Counterparty credit risk (CCR), Interest rate risk in banking book (IRRBB), Liquidity risk, Asset and liability management (ALM) and Fund transfer pricing (FTP) etc.
• Developing model risk governance framework and review the model risk controls and procedure

You will also:

• Use feedback and reflection to develop self-awareness, personal strengths and address development areas.
• Delegate to others to provide stretch opportunities and coach to help deliver results.
• Develop new ideas and propose innovative solutions to problems.
• Use a broad range of tools and techniques to extract insights from current trends in business area.
• Review your work and that of others for quality, accuracy and relevance.
• Share relevant thought leadership.
• Use straightforward communication, in a structured way, when influencing others.
• Able to read situations and modify behavior to build quality, diverse relationships.
• Uphold the firm's code of ethics and business conduct.

Job Description

Required qualification and skills

• Bachelor degree or above in Finance or quantitative discipline, preferably major in Financial Engineering, Quantitative Finance, Mathematics, Statistics or Risk Management. Advanced postgraduate degrees is an advantage.
• Exotic or structured derivatives valuation and VaR / ES models;
• Financial risk management concept including market risk, counterparty credit risk, interest rate and liquidity risk, credit risk
• Strong technical skills with high level of coding inclination and proficiency in Excel VBA, Python, Matlab, C#, R or SQL
• Strong verbal and written communication skills
• Excellent independent research skills and high degree of drive; and ability to multi-tasking with good attention to detail and judgement on prioritisation

Preferred qualification and skills

• 2+ years of experience in quantitative research or risk management capacity
• Qualify member of CFA, FRM, CQF, QRM is preferred
• Common market risk / treasury management systems (e.g. Murex, RiskManager, Kondor+, Bloomberg or Numerix) and relevant hands-on implementation / operation experience;
• Different financial products (fixed income, equity and other complex financial instruments)
• Experience in
• Market risk, counterparty credit risk or/and other financial risk management
• Basel II.5, Basel III FRTB or related regulations implementation and treasury/ risk system enhancement project
• Valuation, product control, ALM or/and other treasury finance function

The PwC China (including Mainland China, Hong Kong, Macau) does not accept unsolicited resumes from search firm recruiters. Fees will not be paid in the event a candidate submitted by a recruiter without an agreement in place is hired; such resumes will be deemed the sole property of PwC China (including Mainland China, Hong Kong, Macau). PwC China (including Mainland China, Hong Kong, Macau) is an equal opportunity employer. All aspects of employment will be based on merit, competence, performance, and business needs. We do not discriminate on the basis of race, color, religion, marital status, age, national origin, ancestry, physical or mental disability, medical condition, pregnancy, genetic information, gender, sexual orientation, gender identity or expression, veteran status, or any other status protected under the local law.