Assistant Vice President - Model Risk Management - Investment Bank

AVP- Model Risk Management

Overall Skills:

- Top tier college (with Masters in Mathematics, Economic, Statistics etc)

- Only Top Investment Banks

- Strong in coding - Python or so

- Primarily from Pricing domain, having worked in Asset class like Fixed income, Equity, FX derivatives with exposure in Stochastic volatility modeling, Interest rate modeling, Monte carlo simulation, valuation etc

- Certification in FRM, CQF, CFA desirable

Highlights for Technical skills:

- Candidate should have experience in developing or validating Pricing- Derivatives/ Product Control and hedging models.

- Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SBAR models, HJM models etc.

- Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc.

Global Business/Global Function - Sub-Function (MRM) :

- Model Risk Management ("MRM") is responsible for providing second line of defense for HSBC's model risk

- Independently Validate & challenge models developed by first line of defense in accordance with

MRM Policies & procedure :

- Set policy, standards and guidelines for managing model risks;

- Provide advice and guidance to support those policies; and

- Review and challenge of the first line of defense model risk activities to provide assurance to the Model Risk Steward.

- Effectively challenge models and critical processes implemented for use across different HSBC legal entities and functions

INTERNAL :

The MRM team consists of Model Risk Stewards, Model Risk Governance ("MRG"), Independent Model Review ("IMR"), and regional MRM teams.

Job Description:

- Decision Sciences job family is structured to address business problems with quantitative solutions like building of predictive algorithms / forecasting / scenario simulations etc.

- Members of this Job Family are differentiated by their capability of converting a business problem into a quantitative construct, solve it with available statistical / mathematical methods (following the right rigour), engage with IT to implement and finally interpret the model outcomes in business language.

- The range of business problems may cover areas of business growth, improving customer experience, limiting risk exposure, capital quantification, enhancing internal business processes etc.

- They are required to, as necessary, embed agile & exploratory practices into their approach, justify the choice of appropriate methods to various internal and external reviewers.

- This talent group is expected to keep themselves apprised of latest developments and industry practices around emerging methodologies, techniques etc. and bring those in-house by applying them for better outcomes.

A decision sciences job family member should be able to: -

- Apply relevant analytical methods / algorithms to get actionable insights from HSBC's internal (both structured and unstructured) and external data sources.

- Partner with IT / Data Engineering teams to create deployment road-map.

- Provide actionable solutions with clear articulation of recommendations for the business stakeholders across geographies.

- Independently manage delivery of analytics projects by working with business partners across regions / geographies.

- Actively contribute in innovative analytical solutioning for improved business performance.

Skills/Experience Required:

- Minimum 7-8 years of experience of financial modelling experience in validation/development in Risk Management in
Market Risk.

- Master's degree in Mathematics/Statistics/Economic/Engineering/Computer Science/Management or any other quantitative fields of study.

INTERNAL :

- Must have background in financial mathematics knowledge such as stochastic calculus, numerical methods, probability theory, regression, time series analysis.

- Proficiency in SAS / R, Python, Matlab and MS Office tools like Excel & PowerPoint.

- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value.

- Candidate should have experience in developing or validating Pricing- Derivatives/ Product Control and hedging models with focus on Interest rate, Equity, FX products.

- Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SBAR models, HJM models etc.

- Candidate should have experience in Stochastic Volatility modeling, calibration etc.

- Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc.

- Candidate should be able to lead a team of junior analysts and be responsible for team management/ project management and provide guidance/coaching across multiple projects.

- Candidate should have strong understanding of various stress testing models such as CCAR/PRA and various other mandatory regulatory expectations for US such as OCC guidelines and OCC 11-7.

- Enthusiasm for proactively seeking, exploring and developing use cases for new data and/or tools/wider industry trends.

- 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.

- Strong business acumen with out-of-the box thinking to drive improved business performance.

- Strong stakeholder management skills and seamless delivery of analytics initiatives across markets.