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Your career opportunity
Model Risk Management (MRM) at HSBC is structured as a global function, headed up by the Chief Model Risk Officer (CMRO). The MRM function reports directly to the Group Chief Risk and Compliance Officer (GCRCO) ensuring its independence from the model developing and owning areas of the firm.
MRM are the second line of defence (2LoD) for Model Risk and the CMRO is the global Model Risk Steward for the group and is also accountable for the global operation of the MRM function. MRM teams are based in each region, to ensure local subject matter expertise and to guide, review, and challenge. MRM activity is managed on a global basis as many models are used in multiple locations. This enables MRM to operate consistently and efficiently globally, and to take account of additional local regulatory requirements.
Independent Model Validation is a specialist quantitative role within the Model Risk Management team responsible for carrying out independent validations of HSBC’s model landscape, in order to identify and communicate model limitations and issues.
Independent Model Validation provides independent challenge of a model’s underlying theoretical assumptions and limitations, its practical implementation, its live application and business usage, providing stakeholders (including model users, senior management, audit and regulators) with assurance that models and tools developed, maintained and used within HSBC Group are fit for their intended purposes and are compliant with applicable internal and supervisory expectations. They will also review remediation plans and activities, undertake portfolio level reviews across model types and challenge the model owners on the appropriate application of relevant policy of models.
Model types include but are not limited to Market Risk models (VaR, IRC, RNIV, Exposure at Default, CCR RWA), pricing models (FX, Rates, Equity and Credit Derivatives), algorithmic trading models, Treasury models (IRRBB, Prepayment, Liquidity), Fair Value Adjustment and Prudent Value Adjustment models, Stress Testing models. This includes the traditional model types as well as modern approaches such as machine learning (ML) and artificial intelligence (AI) techniques.
What you’ll do
- Undertake model validation activities as dictated by the Global Model Risk Policy including the assessment of; model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model.
- Provide written reports detailing the results of validations highlighting issues identified during the validation.
- Validate remediation activities completed by the FLOD to ensure appropriate resolution of identified issues.
- Work with relevant stakeholders to embed new Global Model Risk Policies and Procedures.
- Provide model users, model owners, senior management, audit, and regulators (across 1LOD, 2LOD, 3LOD) with confidence that the models and tools developed, maintained, and used within the Group are compliant with internal and regulatory expectations and fit for the intended purpose.
- Participate at Governance Forums as required.
- Provide functional leadership for a small team of Model Validators operating across geographies and the HSBC matrix.
- Support the recruitment and retention of junior colleagues and provide coaching and guidance.
- Lead model validation activities including planning and stakeholder management.
- Deliver, high quality, timely validation reports that add value to the business.
- Liaise with 1LOD and other model stakeholders as appropriate to ensure issues have been adequately resolved.
What you need to have to succeed in this role
- Master’s or PhD degree in a quantitative discipline like: Statistics, Mathematics, Physics, Econometrics, Quantitative Finance, or related fields.
- Experience with some statistical modelling software / programming language e.g. Python, R, Matlab, C++, VBA.
- Experience of developing or validating models.
- Experience of presenting recommendations to Senior Management.
- Experience of conducting independent model reviews.
- Experience in FRTB framework implementation would be a strong advantage
- Knowledge in one or more of the following areas: Stress Testing and Scenario Analysis models, Traded Risk and Pricing Models, Global Markets Trading & Hedging models, Asset Liability Models, etc.
- Detailed knowledge of Risk models, performance metrics and risks and associated issues.
- Detailed knowledge of the market risk concepts such as: VaR, Stressed VaR, Expected Shortfall, Risk Factor back-testing, time series analysis
- Detailed knowledge of local regulations and those of other country regulators would be an advantage.
What we offer
- Competitive salary
- Annual performance-based bonus
- Additional bonuses for recognition awards
- Multisport card
- Private medical care
- Life insurance
- One-time reimbursement of home office set-up (up to 800 PLN).
- Corporate parties & events
- CSR initiatives
- Nursery discounts
- Financial support with trainings and education
- Social fund
- Flexible working hours
- Free parking
If your CV meets our criteria, you should expect the following steps in the recruitment process:
- Online behavioural test (for external candidates only)
- Telephone screen (for external candidates only)
- Job interview with the hiring manager
We are looking to hire as soon as possible so don’t wait and apply now!
You'll achieve more when you join HSBC.
We thank all interested candidates for their applications. We reserve the right to contact only selected candidates.
In case you would like to resign from participation in recruitment process or withdraw previously sent to us application, please email us at: krakow.recruitment@hsbc.com