Harrison Kwong

Experience

• 

  Convoy Financial Group

  Jun 2017 - Dec 2017

  Asset Management Intern

  Retail and Mass Affluent Business Department

• 

  PwC Mainland China and Hong Kong

  Sept 2018 - Nov 2024

  Financial Services Consulting - Risk Consulting- Quantitatively validated market risk pricing models of different products, including FX, IR and performed model validation on market risk VaR model for an international bank.- Performed model validation on variation margin (VM) and initial margin (IM) calculation models for two of the largest Chinese banks in Hong Kong covering OTC derivatives of all major asset classes (IR, FX, Equity, Credit and Commodity) subject to CR-G-14 margin rules-Led the supporting services to the internal audit teams on derivatives valuation matters including vanilla products and exotic option valuation and the establishment of hedge effectiveness test framework for FS and non-FS clients.- Performed full model replication of different vendors' stochastic local volatility model and local volatility model for pricing FX / Equity exotic options and structural products by using Monte Carlo simulation and Finite Difference method- Performed reporting enhancement and reconciliation for the HKMA MA(BS)3 FX exposure reporting under Internal Model Approach (IMA) for an international bank. Show less

  • Manager

    Oct 2022 - Nov 2024

  • Senior Consulting Associate

    Oct 2020 - Sept 2022

  • Consulting Associate

    Sept 2018 - Sept 2020
• 

  Hong Kong Monetary Authority (HKMA)

  Nov 2024 - now

  Manager - Banking Supervision (Capital Model)

  Market and Counterparty Credit Risk Model