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6. Senior Manager (Basel Capital and Risk Models Team) - Intermediaries Supervision, Intermediaries

Ref.: SFC/SM/IS/INS/INT/230106

We are seeking experienced model risk management specialists who have rich experience with market risk/counterparty credit risk/ OTC derivatives initial margin models to join the team.

Duties & Responsibilities:

The team is responsible to establish and implement regulatory requirements for the use of internal capital models (e.g. VaR / SVaR), latest Basel capital standards (e.g. FRTB and SA-CCR) and OTC derivatives initial margin models (e.g. SIMM) by approved licensed corporations.

Requirements:

To be successful in this role, you should have:

• a postgraduate degree in statistics, engineering or other quantitative finance or science subject;
• at least 8 years’ practical experience in model risk management and risk analysis of complex financial products, preferably gained from
  - development or validation of market risk/counterparty credit risk/OTC derivatives initial margin models in/for a top tier financial institution or reputable regulatory body;
  - risk management over complex trading portfolios conducted in/for a top tier financial institution; or
  - a combination of the above;
• working knowledge of FRTB, SA-CCR or regulatory requirements for OTC derivatives initial margin models, preferably gained from implementation or compliance review of the requirements conducted in/for a top tier financial institution or reputable regulatory body;
• exposure to regulatory policy setting will be an advantage; and
• a strong sense of responsibility and impeccable integrity.

Please quote the reference and apply by 3 November 2023 with details of qualifications, previous experience, current and expected salary to:

Recruitment Manager
Securities & Futures Commission
54/F, One Island East,
18 Westlands Road, Quarry Bay, Hong Kong
(E-mail address : is_recruit@sfc.hk)

All applications will be handled in strict confidence by authorised personnel and will only be used for recruitment related purposes. Applicants who do not hear from us within six months from the application deadline may consider their applications as unsuccessful. All information on unsuccessful candidates will be destroyed after six months.

We are an EQUAL OPPORTUNITY EMPLOYER.

Last update: 20 Oct 2023