AM– Model Monitoring

2 weeks ago


Bengaluru, India HSBC Full time

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 

HSBC is an equal opportunity employer committed to building a culture where all employees are valued, respected and opinions count. We take pride in providing a workplace that fosters continuous professional development, flexible working and, opportunities to grow within an inclusive and diverse environment. We encourage applications from all suitably qualified persons irrespective of, but not limited to, their gender or genetic information, sexual orientation, ethnicity, religion, social status, medical care leave requirements, political affiliation, people with disabilities, color, national origin, veteran status, etc., We consider all applications based on merit and suitability to the role.”



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