HSBC - Business Analyst - Risk (8-14 yrs)
Business Analyst - Risk
The candidate will perform a key role in the definition, implementation and operational delivery of a number of regulatory requirements to validate the ISDA SIMM model on an ongoing basis. There are two priority items that the candidate is likely to be spearhead. The first involves the comparison of daily initial margin values on uncleared OTC derivatives to what CCP models would have calculated. The second involves calculating, quantifying and monitoring the risks that are not included in the ISDA SIMM model.
- Risk management concepts like credit risk indicators (PD, LGD, EAD and CVaR),
- Market risk indicators (VaR, Sensitivity, and Stress tests),
- Economic Capital, Derivative Pricing,
- Counterparty Risk methodologies like CVA and collateral management.
- SQL and knowledge of programming languages as Python & VBA.
- Proficient with requirement gathering and documenting methods for BRD, FRD& RTM
- Business Analyst for credit risk system
- Model validation, Model risk management, Quantitative Analyst, Methodology analyst.
- Very good understanding of the regulatory background including, IMM, uncleared margin, SACCR etc.
- Strong knowledge of quantitative models including, CCP models, VaR models and the ISDA SIMM.