Quantitative Analyst, XVA Analytics

Job description

Role Title: Quantitative Analyst, XVA Analytics

Business: Global Functions

New or Existing Role? Replacement

Grade: GCB5

Role Purpose

· The Global Valuation Group (GVG) is a global function with representation in London, Paris, New York, Hong Kong and other financial centres. GVG is part of Group Finance with reporting lines to Product Control.

· GVG undertakes four main activities: Valuations, Global Valuation Reporting, Quantitative Analysis and Quantitative Infrastructure Development.

· GVG Analytics aims to ensure that derivatives pricing are at market standards and compliant with regulatory rules. GVG Analytics develops a robust framework built mainly on C++ language to distribute its quantitative solutions in all 40 Global Markets locations.

· This role is for GVG Analytics, within the XVA (Credit, Debit and Funding Adjustments) work stream and will report into the Head of XVA Analytics. The person will be responsible for assisting with defining and quantitative implementation of fair value and prudent valuation methodologies. The individual would provide quantitative support to Product Control in these areas and will work closely with Risk divisions such as Markets IMR and the Front Office quantitative/trading teams

Key Accountabilities

Impact on Business

· Development/enhancement of methodologies and infrastructure within XVA Fair Value Adjustments space.
· Contribution to the Analytics C++ Library.
· Participate and present in regular stakeholder (Product Control, Development team, Market Risk, Front Office) catch up sessions to keep up to date with ongoing projects and deliverables.
· Work with other teams within Global Analytics, e.g. Stress Test to ensure XVA infrastructure allows to satisfy all regulatory requirements.

Customers / Stakeholders

· GVG senior management, Project Sponsors, Project Managers, GB&M business and Management Office, banking regulators.

Leadership & Teamwork

· Work with other areas within GVG, Finance IT, Product Control, Group Finance, Liaise and work together with key stakeholders.

Operational Effectiveness & Control

· Encourage efficient and streamlined processes for GVG Analytics.
· Ensure policy / methodology consistence across all business areas as well as across all sites globally
· maintain HSBC internal control standards, including timely implementation of internal and external audit points together with any issues raised by external Regulators;
· understand and ensure compliance with all relevant internal and external rules, regulations and procedures that apply to the conduct of the areas in which you are involved specifically Internal
· Controls and any Compliance policy including, inter alia, the Group Compliance policy
· Ensure that there is full compliance with the Global Markets FIM

Major Challenges

· Ensure deliverables are aligned to expectations and timelines, ability to work under pressure
· In depth analysis/investigation and developing suitable solutions
· Ensure our models and methodologies are compliant with regulatory requirements
· Ability to adapt to sudden changes in requirements and managing stakeholder expectations
· Communication with various key stakeholders globally
· Ensuring accuracy and high quality of deliverables

Role Context

· Establish close links with Product Control, Market Risk and the Business and Independent Model Review.
· Assist in addressing regulatory driven initiatives and change.
· Close working contact with senior managers (from the Business, Product Control and Market Risk).
· Maintenance of excellent relationships with internal clients and external auditors / regulators.
· Complexity of markets and products make this a challenging and interesting role.

Management of Risk

· Ensure that team governance and procedures are managed in accordance with the Group Standard Manual, Market Risk and Finance FIM, GVG best practice guidelines and regulatory environment.

Observation of Internal Controls

· Maintains HSBC internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators.

· Understands, follows and demonstrates compliance with all relevant internal and external rules, regulations and procedures that apply to the conduct of the business in which the jobholder is involved, specifically Internal Controls and any Compliance policy including, inter alia, the Group Compliance policy.

Desired profile

Qualifications :

Knowledge & Experience / Qualifications

Education & Experience:

·  University degree (Class 2:1 or equivalent)
·  Masters or PhD degree in Quantitative Finance or in a numerical subject (Maths, Physics)

Skills and Competencies:

·  Strong analytical and problem solving skills
·  Excellent communication skills and interpersonal skills
·  Attention to detail and consideration of timelines
·  Knowledge of financial products: Rates, FX, CDS
·  Experience of working within XVA quant space is ideal
·  C++ proficiency
·  Familiarity with Python is an advantage
·  SQL, Excel VBA
·  Minimum 2 years of working experience is preferred but we will consider shorter experience depending on degrees

Under the Company's internal 'Back to Front'/'Front to Back' transfer policy this role may be classed as High Risk. As a result, internal candidates may require enhanced approvals and vetting checks if they are currently employed in a Front Office department, or if they have worked in a Front Office department within the last 5 years (please refer to the HR FIM definition for further guidance). The enhanced approvals and vetting would need to be completed before the candidate will be confirmed in the role.

For more information about the relevant additional checks for this role please contact the hiring manager.

We are an equal opportunity employer and are committed to creating a diverse environment.