- Collaborate closely with other stakeholders to help advance the risk analytics system to the next level over the next 2-3 years.
- Study and provide insights to key risk drivers for the portfolio, in relation to risk premia across factor, risk asset, country/currency dimensions, and provide risk advisory to stakeholders.
- Validate and review the models and methodologies used in the total portfolio risk analytics and explore research-centric risk measure useful for the total portfolio.
- Develop and enhance additional risk analytics for portfolio construction and risk management .
You will also be involved in expanding, improving, and maintaining enterprise level stress scenario framework:
- Review and improve the stress testing approach for both historical and forward-looking scenarios in a factor-based, cross-asset, multi-period setting.
- Expand on existing suite of risk scenarios, across macroeconomic, geopolitical - to increase awareness of plausible outcomes and portfolio implications.
- Risk profile and tailor scenarios for selected portfolios which require in-depth analysis.
- Maintain relevance of scenario narratives, review of shocks and smooth running of risk engine computations.
What qualifications or skills should you possess in this role
- Graduate Degree in an analytical, financial and/or technical field such as Quantitative Finance, Physics, Math, Statistics, Engineering etc is a must
- At least 4 years of relevant experience in a quantitative or analytical role in financial industry. Buy-side exposure will be an advantage.
- Strong knowledge and experience on mathematic computation, e.g. matrix manipulation, probability theory, time series, numeric optimization, Monte Carlo simulation etc.
- Experience in analysing risk factors, and modelling risks such as volatility, tracking error and stress scenarios is preferred.A working knowledge of multi-asset modelling would be assessed favourably.
- Proficiency in programming, with a preference for Python, VBA and R.
- Strong communication and presentation skills (written and verbal). Exhibit the ability to explain analytical or quantitative concepts in simple, practical and high impact manner.
- Proactive individual, with high level of self-motivation, highly organized, and able to adhere to tight deadlines.
- Critical to have the ability to sell important ideas and influence outcomes
- Keen attention to detail, strong work ethic, and effective team player in a fast-paced environment.
- Strong ethical compass, demonstrable integrity and a commitment to doing the right thing.
