Job description
Business: Risk & Compliance
Open positions: 1
Role Title: Manager - Decision Sciences, GSC's
Global Career Band: 6
Location (Country / City ): Bangalore / Kolkata / Gurugram
Recruiter Name : Imran waheed
Why join us?
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.
MRM is comprised of four key activities:
- Model Risk Governance - Setting the firm's model risk policies and standards, ensuring that model risk is managed within the approved tolerance levels, providing second line assurance on the implementation of policy, and monitoring regulatory developments impacting model risk.
- Model Risk Stewardship - Facilitating responsible development, understanding and use of models and analytics, as well as providing subject matter expertise, advice, guidance, and effective challenge across all entities, regions, global businesses, and functions.
- Independent Model Validation- Independently reviewing and (re)validating models, providing an objective, unbiased and critical opinion on the suitability and soundness of models for their intended use and the accuracy, relevance and completeness of outputs used to inform business decisions.
- Infrastructure - provides specialist technical expertise and are responsible for delivery of infrastructure and reporting capability used across all geographies, business, and functions to support the effective management of model risk.
- There is also a small Professional Practises team reporting directly to the CMRO who provide feedback and quality assurance on validation deliverables, ensuring consistency and facilitating the sharing of internal and external best practises.
- 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. This role is part of the PPNR (Business Finance) validation team.
- 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 econometric forecasting PPNR models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income (“NII”), Non Interest Revenue (“Non-NIR”), Interest Rate Exposure (“IRE”), Economic Value Sensitivity (“EVS”), and other associated PPNR/Interest rate risk metrics.
What you’ll do:
Principal Accountabilities and Responsibilities
- Undertake model validation and testing 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 ILOD to ensure appropriate resolution of identified issues.
Leadership & Teamwork
- Communicate technical model related information and results to Model Owners and Model Users through the course of a validation.
- Contribute to management, regulatory, and external confidence in all models used across the group.
- Deliver, high quality, timely validation reports that add value to the business.
Requirements
What you will need to succeed in the role:
- Candidate should have worked on either development or validation of econometric forecasting PPNR models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income (“NII”), Non Interest Revenue (“Non-NIR”), Interest Rate Exposure (“IRE”), Economic Value Sensitivity (“EVS”), and other associated PPNR/Interest rate risk metrics.
- Candidate should have understanding of statistical techniques such as Time Series Analysis, Panel Regression, Error Correction Models, Seemingly Unrelated regression, Co-integration, and Linear/Logistic Regression.
- Candidate should be able to effectively steer stakeholder conversations with FLoD including Model developers/Sponsors/Business, etc. He/she should be able to effectively contribute in developing or maintaining a comprehensive model validation framework that adopts a consistent approach to data quality and modelling methods, audit, back test, tracking, Annual/Semi Annual/Quarterly validations. This is critical in regulating, monitoring and reducing the model risks.
- Candidate should have good understanding of various other mandatory regulatory expectations such as FRB/OCC/PRA guidelines and SR 11-7. Person should be familiar with concepts of time series modelling and its use in different stress testing exercises.
- Candidate should have good understanding of Wholesale/Retail - AIRB/CCAR models as well as basic understanding of different wholesale portfolios such as Corporate, NBFI’s, SME, MME and Large and global enterprises etc. or Retail Portfolios such as Cards, Mortgages, Payrolls, PILs, DDA Deposits, Time Deposits, etc. He/she should be able to validate models used for different regulatory perspective such as OCC/FRB, EBA Guidelines and PRA regulations.
Experience:
- Minimum 1-5 years of experience of financial model validation/development experience in Risk Management in Wholesale/Retail domain or related areas
- Proficiency in SAS / R, Python MS Office tools like Excel & PowerPoint.
- Experience of developing and reviewing models throughout the customer lifecycle.
- Experience of conducting independent model reviews is beneficial.
Skills:
- Candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model.
- Excellent written and verbal communication skills. Ability to develop and effectively communicate complex concepts and ideas.
- Candidate should be able to independently write high quality Model Validation reports highlighting model risks for senior management.
- Enthusiasm for proactively seeking, exploring and developing use cases for new data and/or tools/wider industry trends
Qualifications:
Master’s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics, Engineering or any other quantitative field of study (STEM).
What additional skills will be good to have?
The job holder will be required to:
- Support the management of model risk across a large complex banking group.
- Manage model risk whilst significant transformational activity is being implemented, both regionally and globally.
- Operate within a changing and rapidly developing regulatory environment.
- Continually support HSBC's approach to conduct and cultivate a positive risk aware culture, which is designed to ensure we deliver fair outcomes for our customers and do not disrupt the orderly and transparent operation of financial markets.
- Maintain awareness of operational risk and minimise the likelihood of it occurring, including its identification, assessment, mitigation and control, loss identification and reporting in accordance with the HSBC Operational Risk Management.
- Adopt a risk management and internal control structure, referred to as the Three Lines of Defence, to ensure it achieves its commercial aims while meeting regulatory and legal requirements and its responsibilities to stakeholders, customers and staff. All staff must familiarise themselves and adhere at all times with the role and supporting responsibilities they play in the Three Lines of Defence.
Link to Candidate User Guide:
You’ll achieve more at HSBC
HSBC is an equal opportunity employer committed to building a culture where all employees are valued, respected and opinions count. We take pride in providing a workplace that fosters continuous professional development, flexible working and, opportunities to grow within an inclusive and diverse environment. We encourage applications from all suitably qualified persons irrespective of, but not limited to, their gender or genetic information, sexual orientation, ethnicity, religion, social status, medical care leave requirements, political affiliation, people with disabilities, color, national origin, veteran status, etc., We consider all applications based on merit and suitability to the role.”
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Nom du recruteur
Imran Waheed
E-mail du recruteur
imran.waheed@hsbc.co.in