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05/09 Shibin Sukumar
HR at HSBC

Views:842 Applications:98 Rec. Actions:Recruiter Actions:46

HSBC - AVP/Lead AVP/Senior AVP - Model Risk Management (9-13 yrs)

Bangalore Job Code: 1150227

Skills/Experience Required:

- Minimum 8 -12 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

- 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 exposures in prepayment factor modeling with respect to conditional prepayment rate (CPR) forecasting techniques, Housing Turnover rate, Refinancing rate, LTV etc

- Candidate should have extensive model building experience utilizing various regression techniques and exposure to roll rate, delinquency, loss severity models and has covered sectors like RMBS, CMBS, US mortgage portfolios

- Experience working with panel data regression techniques and financial time series models, Monte-Carlo simulation techniques is required

- Candidate should have worked on Asset Liability Management models (Liquidity and IRRBB) including Net Interest Income (NII) modeling, Economic Value of Equity EVE modeling etc

- Candidate should have been involved in development of IRRBB NMD Deposit & Balance Sheet Modelling (static and dynamic) using Multiple Regression Model including Macro Economic Variables

- Candidate should have worked on modeling of Liquidity and Funding ratio analysis

- Candidate should have worked on transition of LIBOR-to-SOFR scenarios and analyzing the impact of cash flows/ payoffs

- Candidate should have worked in modeling of Structural Interest rate risk, Multi - Curve construction, OIS discounting and Earning at Risk

- 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

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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