Am- Model Monitoring

3 weeks ago

Bengaluru Karnataka, India HSBC Full time

-Job description

**Why join us?**

**Description of Role**

This role is within the Traded Risk Model Monitoring & Calibration team established to assess the performance of the traded risk models, measure the impact on capital requirements and understand & manage the model risk, and calibration of model parameters within Traded Risk Management. The role also entails presentation of these results to stakeholders.

Traded risk models include:

- Market Risk models;
- Counterparty Credit Risk models;
- Margin models;
- Add-on models;
- Economic Capital

**Role Purpose**
- The **AM- Model Monitoring & Calibration** role is responsible for providing necessary analytical support in meeting the regulatory requirements on Traded risk management & governance.
- The role is primarily responsible for ensuring that the Counterparty Credit Risk (CCR) Models and Market Risk Models adhere to the model standards and that the key performance indicators (KPI) metrics are assessed and reported to regulator on a regular basis.
- Calibrate the CCR & market risk models according to the market conditions and validate the capital and exposure numbers with Risk Managers and senior stakeholders.
- Ensure that new model metrics provided by model owners are implemented as per the standards of CCR models & Market Risk Models for traded risk measurement for HSBC Group and Regions.
- In addition to on-going model monitoring and calibration, this role is responsible for providing analytical support in all regulatory and functional requirements regarding model risk.
- Improving process efficiency through process re-engineering and automation, streamlining processes to bring in standardization and developing innovative solutions to identified or known problem statements.
- Self-starter and who can take ownership of the end-to-end processes and be able to explain the analysis to stakeholders.

**What you’ll do**:
**Qualifications**
- Masters in any of the following fields:

- Economics
- Engineering (or B-tech with relevance experience)
- Statistics/Mathematics
- MS / MBA in Finance
- Certification
- FRM

**Experience**- 2-3 years of professional experience in analytics of traded risk management
- knowledge of various models - IMR, Model development, Model review, Model validation
- Knowledge of financial products, SWAPS, CDS, CAPS. Counterparty credit Risk/ GCR/ PFE/EEE/EPE (knowledge of exposures) specially the internal model methodology framework
- Experience and understanding of statistical tools and techniques like basic statistical distributions, testing of hypothesis, principal component analysis, clustering techniques and time series analysis used in the counterparty credit risk domain for validation of various model components and assumptions
- Understanding of financial risk measures, financial instruments
- Derivative models in products/ Statistics calculus
- desired
- Experience/working knowledge of Python programming language
- Understanding of regulatory implications and relevance
Requirements

**Y**ou’ll achieve more at HSBC**

**Issued By HSBC Electronic Data Processing (India) Private LTD

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