Sr. Analyst/Manager (Model Risk Management)

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 (Job description (Accountabilities, Major Challenges, Role context to be provided by the sub-function of respective Global Business/Global Function)Management of Risk/Internal Controls/Compliance ;

- The jobholder will continually reassess the operational risks associated with the role and inherent in the business, taking account of changing economic or market conditions, legal and regulatory requirements, operating procedures and practices, management restructurings, and the impact of new technology.

- The jobholder will also adhere to and be able to demonstrate adherence to internal controls. This will be achieved by adherence to all relevant procedures, keeping appropriate records and, where appropriate, by the timely implementation of internal and external audit points, including issues raised by external regulators.

- The jobholder will implement the Group compliance policy by containing compliance risk in liaison with Global Head of Compliance, Global Compliance Officer, Area Compliance Officer or Local Compliance Officer. The term 'compliance' embraces all relevant financial services laws, rules and codes with which the business has to comply.

- This will be achieved by adhering to all relevant processes/procedures and by liaising with Compliance department about new business initiatives at the earliest opportunity. Also and when applicable, by ensuring adequate resources are in place and training is provided, fostering a compliance culture and optimising relations with regulators.

Skills/Experience Required :

- Minimum 2 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

- 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

- 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 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

Additional Information /Specific Skills (If Any) :

- Candidate should be responsible for model review on the following areas; Global Markets Front Office valuation and hedging models, market risk model and counterparty risk models, Balance Sheet Management models, Asset Liability Management models, HSBC Security Service (models for Hedge Fund Admin), Asset management models.

- Additionally, 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.

- Person should be familiar with the concept of stochastic calculus, numerical methods, probability theory, and its application.

- He/she should have knowledge of Derivative Pricing Models, Traded Risk models, Statistical Models etc.

- A successful 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.

- Candidates should have good communication skills and should be able to independently write good reports highlighting model risks for senior management.

- Person should be familiar with Python, R, Matlab.

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