Manager - TR Model Monitoring/Calibration GSC’S

2 weeks ago

Bengaluru, India HSBC Full time

Description - External

Some Careers grow faster than others.

If you’re looking for a career where you can make a real impression, join HSBC and discover how valued you’ll be.

HSBC is one of the largest banking and financial services organisations in the world, with operations in 64 countries and territories. We aim to be where the growth is, enabling businesses to thrive and economies to prosper, and, ultimately, helping people to fulfil their hopes and realise their ambitions.

We are currently seeking an experienced professional to join our team in the role of Manager - TR Model Monitoring/Calibration GSC’S

Work Location- Bangalore

Why join us?

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: (1) Market Risk models;(2) Counterparty Credit Risk models;(3) Margin models;(4) Add-on models;(5) Economic Capital 

What you’ll do:

The  Manager – Model Monitoring & Calibration  role is responsible for driving model monitoring and calibration processes and 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 Market 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 validation, 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. Requirements

Qualifications - External

Knowledge & Experience / Qualifications 

Qualifications

Masters in any of the following fields:- Economics Engineering (or B-tech with strong relevance experience) Stats/Maths MS / MBA in Finance with relevant experience FRM / CFA desirable

Experience

Minimum 5-6 years of professional experience in analytics of traded risk management Working in a multinational bank/financial institution or consulting with relevant experience of risk management Understanding of regulatory implications and relevance, banking guidelines

Skills

Experience and understanding of statistical tools and techniques like statistical distributions, testing of hypothesis, principal component analysis, and time series analysis used in the counterparty credit risk domain for validation of various model components and assumptions Understanding of the counterparty credit risk and/or market risk domain esspecially the internal model methodology framework and processes of model monitoring and backtesting Understanding of risk measures like VaR, RNIV, Expected Shortfall, EE, PFE, EEPE, EAD, etc and understanding of asset classes – FX, rates, credit. Understanding of working of financial instruments, knowledge of pricing desirable Understanding of regulatory guidelines, Basel guidelines and model life cycle (working with model validation, audit, and governance teams) Leadership qualities and initiating auotmation and streamlining ideas of existing processes Excellent written and verbal communication skills, ability to write clear and concise documents, and flexibility to work in an international team Experience/working knowledge of programming languages/tools like Python, VBA, SQL, Matlab, Tableau. Strong knowledge in at least one of these tools is highly desirable Experience in using terminals like Bloomberg preferable Strong analytical and problem solving skills and collaborative skills Delivery prioritization under ciritical deadlines

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