Senior Quantitative Analyst

Job description

A Senior Quantitative Analyst to independently lead and cover specific business areas:QRVG Model Review Business lead: A leading Model reviewer, who independently covers one or multiple businesses or risk types within GBM FO valuation and hedging models, market risk models and counterparty risk models, Balance Sheet Management models, Asset Liability Management models, HSBC Security Service models (models for Hedge Fund Admin), Asset Management models, etc.;QRVG Analytics Business lead: A lead on project or business coverage that independently proposes and implements reserve methodologies for Product Control, supports and develops quantitative tools, or enhances the model governance and control framework.
 
Impact on the Business
Independently cover one or multiple businesses, risk types, or other large projects;
Independently review the models under his own business coverage or being assigned, fully understand the model theory and model assumptions, and verify the formula derivation;
Develop independent models to validate the model implementation and identify the model shortcoming, limitation, and approximations;
Develop alternative models to study the model risk;
Analyze the model behavior and risk profiles;
Perform model sensitivity testing and stress testing;
Communicate the model review findings with model developer and owners;
Write high quality model appraisal reports, including conclusion, recommendation, and detailed analysis in model theory, formula, and testing;
Participate in model control, governance, and monitoring (via PALMS);
Participate PDD/TAP/PIR review and sign-off;
Propose and implement reserve methodologies for Product Control;
Support and develop quantitative tools (PALMS and Pegasus) and resources to enhance the model control framework;
Quantitative support, where required, to Product Control and Traded Risk;
Participate the audits or regulatory exams on the covered businesses.
Customers / Stakeholders
GBM Front Offices, Traded Risk, Product Control, Finance, ALCM, HSS, and Asset Management;
Internal auditors & external auditors (KPMG);
Corresponding Model Oversight Committees (Global MOC, HNAH MOC, Valuation Committees, Wholesale and Market Risk MOC, Finance RCRC, AMG MOC, etc.);
Regulators (US, Brazil, Canada, and/or UK).
Leadership & Teamwork
Lead the model review or Analytic on one or multiple business areas or risk types;
Work closely with other teams within QRVG globally;
Ensure involvement in key cross department initiatives;
Tutor or train other team members, especially new hires.
Operational Effectiveness & Control
Maintain HSBC internal control standards, including timely address 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;
Ensure that there is full compliance with the Global Markets FIM;
Fully understand the role and QRVG Best Practice Guidelines;
Ensure model limitations are correctly understood, identified and managed;
Properly use PALMS for Model risk management and monitoring;
Maintain integrity and uphold ethical standards.
To implement the Group compliance policy locally by containing compliance risk in liaison with the Head of Group Compliance, Global Business Compliance Officer, Area Compliance Officer or Local Compliance Officer, ensuring adequate compliance resources and training, fostering a compliance culture and optimizing relations with regulators.
Complete other responsibilities, as assigned.
Major Challenges
Challenge the qualify of work from model developers, particularly model documentation and implementation;
Manage the pushback on QRVG model review findings and recommendations from business heads, senior quants and developers;
Execution of QRVG effective challenge and independence;
Understand and follow the fast growing regulatory requirements and modeling ;
Problem solving – investigation of technical issues, and reserving methodologies;
Work under pressure to meet deadlines;
Relationships within and outside QRVG including Product Control, Front Office, Traded Risk, etc.;
Work on multiple projects and initiatives in parallel;
Ensure high quality of the appraisal reports;
Maintain global consistency and liaison with QRVG in other sites
Role Context
A second line defense function on model review, model risk management, model governance, control and monitoring;
This role will be part of 20 quantitative analysts in QRVG Americas and 65 resources in Global QRVG;
The team covers a variety of asset classes and model types;
The role requires maintaining key controls and constructive challenge;
The job holder will frequently contact various departments and will need to ensure that he has accurate and timely information;
The role requires good communication skills.
Management of Risk
Ensure compliance, operational risk controls in accordance with HSBC or regulatory standards and policies; and optimize relations with regulators by addressing any issues.
Promote an environment that supports diversity and reflects the HSBC brand;
Ensure that model risk and limitations are managed in accordance with the Group Standard Manual, Market Risk and Finance FIM, QRVG 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

Desired profile

At least 4 year experience in quantitative fields, or 3 year experience for exceptional member with Ph.
D;
Solid understanding of derivative products and excellent quantitative skills are required. Strong background in financial mathematics (derivatives models, probability theory, mathematics, etc.) is a must;
Broad background and deep understanding of one or more derivative asset classes including credit derivatives, emerging market derivatives, structured fund derivatives, MBS, BSM, ALM, interest rate derivatives, equity derivatives, metal derivatives, etc., asset management, hedge fund administration and valuation, and traded risk models, methodologies, and processes;
Excellent communication and written skills. Must be able to explain complex and/or technical subjects clearly, accurately and concisely. Need daily interaction with senior management, business heads, traders, desk quants, model review members, market risk and credit risk managers, product controller, and senior IT developers;
Demonstrate strong leadership and project management skills. Able to independently cover one or more businesses;
Organized, detail-oriented and self-motivated. Work hard, smart, productive, business driven, be able to delivery under pressure. Have the teamwork ability;
Must have solid C/C , VBA, or Java programming skills. Knowledge on Matlab, R, SAS, S-Plus etc. is plus;
PhD in a quantitative or computational filed (Finance, Math, Physics, Financial Engineering, Computer Science, etc.) is preferable.
EEO/AA/Minorities/Women/Disability/Veterans