Quantitative Analyst - Model Validation - Balance Sheet Management - Bank

Department overview :

Balance Sheet management (BSM) is responsible for the management of the liquidity, funding and structural interest rate risk for HSBC Group.

BSM is a significant contributor to the revenue of the Group, with staff in over 50 sites worldwide and spans the various Group balance sheets. BSM provides input into each local ALCO and liaises extensively with Asset, Liability & Capital Management. BSM is managed by the Global Head, the Regional Heads for EMEA, Asia Pacific and the Americas, and the COO.

Role purpose :

BSM is looking to establish Quantitative Analyst capability to support model-related activities in relation to interest rate risk and liquidity management activity. BSM utilises or relies on models across Fixed Income, FX and ABS products, often in common with other Global Markets businesses.

The role will initially focus on familiarization with BSM business activity and the model governance process, then playing a lead role in the review of FI & MBS related models to deliver implementation in line with global model review governance standards. The role will be embedded alongside quantitative analyst teams for Markets businesses and involve model-related activities in common with FI and FX businesses as well as BSM-specific instruments/models.

Activities may include :

- Participate in the implementation and review of the model governance framework related to BSM activity across global sites and products

- Ensure model inventory and documentation standards are met

- Assist with the implementation of new models in sites not previously active in terms of product/infrastructure deployment

- Lead engagement with Independent Model Review functions and the Model Governance framework in relation to BSM activity

- Support for ongoing risk management activity utilising models where necessary

- Conduct ongoing model monitoring and periodic reviews, inventory check in and confirmation to tests and processes

- Periodic review (and where applicable re-validation) of models to ensure standards with regard to model testing are met

- Support hub teams on remediation of models

- Participate in the implementation of automation opportunities

Knowledge & Experience / Qualifications (For the role - not the role holder. Minimum requirements of the role.)

- A degree based on Mathematical Finance from a top tier university

- Experience in pricing model validation function (at least 3 years)

- C++ proficiency

- Scripting and Python experience (preferable)

- Product & model experience across fixed income, FX and MBS products (preferable)

Skills required :

- BSM Quants- Tier 1- Target Captive units/Crisil/ Consulting

- Need someone with Pricing Model validation/Credit Risk Quants/ Model validation Exp and should be good with calculation

- Derivatives/Any asset class will be okay.

- Pricing Model

- Model validation

- Mortgage experience

- Pricing model validation

- Credit Risk-Calculation

- Derivatives-calculation

- Market Risk validation

Vishruta Patil

Ph : 9886080687