Assistant Vice President, Credit Risk Modeling & Stress Testing (Risk Management)

Mandatory Reference Checking Scheme (“MRC”) for Hong Kong

The Mandatory Reference Checking Scheme is a framework to facilitate Authorized Institutions (“AIs”) to bilaterally obtain reference information during their recruitment process for certain positions, such that misconduct information in an individual’s previous employments can be provided to AIs to inform their employment decisions.

For information related to MRC Scheme, “Frequently Asked Questions for In Scope Individuals” is published by HKAB/Industry Guidelines (https://www.hkab.org.hk/en/home) or further information will be available upon request, if it is applicable to the position(s) applied.

Country of Location:

China Hong Kong

Job Responsibilities:

• Work with other team members to conduct regular bank-wide credit risk stress testing, and also act as the coordinator for bank-wide stress-testing exercises.
• Prepare regular bond investment portfolio monitoring and analysis reporting.  
• Prepare ECL related financial reporting, HKMA return/survey, and disclosure under HKFRS-9 requirement.    
• Support the team to maintain the methodology, risk parameters and systems for ECL estimation under HKFRS-9 requirements including internal rating models.
• Support the team to enhance existing processes, methodologies and reports to fulfill management and regulatory requirements.
• Participate in ad hoc/ special various projects related to credit rating models.
• Support other ad-hoc tasks assigned by supervisor.

Requirements:

• Degree holder in Quantitative Finance, Statistics, Risk Management, accounting or related disciplines, preferably with Master degree.

• 5 - 8 years of experience in risk management areas, credit risk stress testing such as ICAAP, SDST, Climate Risk and other bank-wide stress testing.

• Experience in the implementation of HKFRS-9 ECL methodologies and internal rating models will be an advantage.

• Sound knowledge in risk management methodology and statistical/quantitative analysis tools

• Proficiency in Python, SAS and other programming languages and databases is a plus

• Good command of written and spoken English and Chinese (including Putonghua)