Job description
Some careers have more impact than others.
If you’re looking for a career where you can make a real impression, join HSBC and discover how valued you’ll be.
HSBC is one of the largest banking and financial services organisations in the world, with operations in 62 countries and territories. We aim to be where the growth is, enabling businesses to thrive and economies to prosper, and, ultimately, helping people to fulfil their hopes and realise their ambitions.
We are currently seeking an experienced professional to join our team in the role of Lead Assistant Vice President - Decision Sciences
Principal responsibilities
- Model development related to Market Risk models such as (Value at Risk) VaR, Stressed VaR, IRC, NMRF, FRTB implementation or for Counterparty Credit Risk models such as SA-CVA, XVA, Simulation & Pricing models, Collateral & Margining models.
- Perform activities pertaining to First Line of Defense based on the Model Risk Management Framework for traded models:
- Model development based on best industry practice.
- Model calibration, monitoring, and annual assessment.
- Support model users such as Traded Risk Managers, Front Office, and Product Control etc.
- Assist the Risk steward functions in second line of defense activities.
- Provide model risk expertise of Traded Risk Products, working in conjunction with Product Controls, Front Office, Global Markets Operations and other support and control functions.
- Support the model reviews by IMR, Internal and external Audit as well as regulatory visits. Implement the findings in a timely manner.
Requirements
- Strong quantitative background, with a degree (Masters/PhD preferred) in Statistics/ Econometrics/ Economics/Mathematical Science/Engineering/Finance
- 6-12 years’ experience in quantitative field like Market Risk or CCR model development/model validation
- Good understating of any or most of the common risk measures such as VaR, ES, PFE, XVA.
- Good understating on the pricing and valuations of the derivative products such as FX (Spot, Option, FX Swap, Non-Deliverable Forward, Forwards), Rates (Swaps, FRA, Options (Caps & Floors, Swaptions)), Cross Currency Swaps, Bonds, and other exotic derivatives.
- Strong programming skills (Python, C++ etc.) to develop the models or making proof of concepts.
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.”
Personal data held by the Bank relating to employment applications will be used in accordance with our Privacy Statement, which is available on our website.
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