CCR & XVA Quantitative Analyst

Job description

Role Title: CCR&XVA Quantitative Analyst

Business: Risk
New or Existing Role? Replacement
Grade: GCB5

Role Purpose
· This is a role responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management. Throughout the process, regular inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills. The core objectives are
· to review and improve or re-build the existing suite of models and methodologies,
· to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and
· to coordinate projects aimed at aligning methodologies, governance and policies around the Group, and
· keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and
· engage in industry discussions aimed at informing policy.

Key Accountabilities

Impact on Business

· Appropriately calibrated and applied traded credit models helps ensure that risk is more accurately quantified, allocated and managed. This in turn leads to more appropriate risk-return analysis for the business.
· Regulatory approval for effective traded credit models aligns risk measurement and capital. This is optimal and removes arbitrage.
· Understanding of regulatory requirements means the business is forewarned of changes in the regulation and can prepare accordingly.
· Effective communication with the GRA team at both Regional and Group levels ensures there is a strong common understanding of the models and that best practices are being applied.
· Providing bespoke analysis for new business helps ensure that the business can make appropriate risk/capital assessments.


Customers / Stakeholders

· Traded Credit Risk Management
· XVA business (Trading, Product Control)
· Capital Management (Sales, Structuring/Trading, Regulatory Finance)
· Regulators (e.g. ECB, PRA, OCC, HKMA,…etc)

Leadership & Teamwork

· Align to team key priorities and objectives
· Make yourself available in crisis scenario to help the team deliver even when outside your core project.
· Establish and maintain strong working relationships with key stakeholders

Operational Effectiveness & Control

· Identification of gaps in risk models and approaches to mitigate
· Ensure effective on-going validation
· On-going review of testing process/policy
· No high risk audit points
·
Consistent with Group policies, Regulatory requirements and best practice


Major Challenges
·
The development of new models to a tight timeframe with a potentially changing set of regulatory requirements.

·
Understand traded credit risk and quantify risks using advanced mathematical technics (Stochastic calculus) and programming languages (C++, QuiC, Java).

·
Forming a good understanding of the credit risk exposure taken within HSBC in order to guide the development of new or enhanced risk methodologies.

·
Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes

·
Developing a clear understanding of regulatory expectations and requirements which can then be communicated internally and externally

· Being able to lead and manage a project involving different stakeholders across several geographies

Role Context
·
Must be able to work autonomously and be able to meet tight deadlines.

·
Must be able to manage ambiguous requirements and make effective decisions in this context.

·
The nature of the role requires close working contact with personnel across many different areas of business and risk, in all regions of the Group

·
The role is in the Global Risk Analytics (GRA) function. This area is responsible for the definition and development of risk measures, models, related policies, and strategy for managing risk. This includes the development, refinement, review and on-going validation of risk measures and models used within the HSBC Group

Management of Risk
·
The jobholder will also 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.

·
This will be achieved by ensuring all actions take account of the likelihood of operational risk occurring.

·
Also by addressing any areas of concern in conjunction with line management and/or the appropriate department.

Observation of Internal Controls

· 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.

Desired profile

Qualifications :

Knowledge & Experience / Qualifications

· 
Minimum Masters level in Math/Computer Science/Engineering discipline

· 
Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics

· 
Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite

· 
Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine

· 
Expert C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approach

· 
Open personality and effective communication skills, ability and flexibility to work in an international team

· 
Ability to write clear and understandable documents



As a business operating in markets all around the world, we believe diversity brings benefits for our customers, our business and our people. This is why HSBC is committed to being an inclusive employer and encourages applications from all suitably qualified applicants irrespective of background, circumstances, age, disability, gender identity, ethnicity, religion or belief and sexual orientation.

We want everyone to be able to fulfil their potential which is why we provide a range of flexible working arrangements and family friendly policies.

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