Requirements

Expected technologies

SAS

Python

R

Matlab

C++

VBA

Our requirements

• Master’s or PhD degree in a quantitative discipline like: Statistics, Mathematics, Physics, Econometrics, Quantitative Finance, or related fields.
• Experience with some statistical modelling software / programming language e.g. Python, R, Matlab, C++, VBA.
• Experience of developing or validating models.
• Experience of presenting recommendations to Senior Management.
• Experience of conducting independent model reviews.
• Experience in FRTB framework implementation would be a strong advantage
• Knowledge in one or more of the following areas: Stress Testing and Scenario Analysis models, Traded Risk and Pricing Models, Global Markets Trading & Hedging models, Asset Liability Models, etc.
• Detailed knowledge of Risk models, performance metrics and risks and associated issues.
• Detailed knowledge of the market risk concepts such as: VaR, Stressed VaR, Expected Shortfall, Risk Factor back-testing, time series analysis.
• Detailed knowledge of local regulations and those of other country regulators would be an advantage.

Your responsibilities

• Undertake model validation activities as dictated by the Global Model Risk Policy including the assessment of; model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model.
• Provide written reports detailing the results of validations highlighting issues identified during the validation.
• Validate remediation activities completed by the FLOD to ensure appropriate resolution of identified issues.
• Work with relevant stakeholders to embed new Global Model Risk Policies and Procedures.
• Provide model users, model owners, senior management, audit, and regulators (across 1LOD, 2LOD, 3LOD) with confidence that the models and tools developed, maintained, and used within the Group are compliant with internal and regulatory expectations and fit for the intended purpose.
• Participate at Governance Forums as required.
• Provide functional leadership for a small team of Model Validators operating across geographies and the HSBC matrix.
• Support the recruitment and retention of junior colleagues and provide coaching and guidance.
• Lead model validation activities including planning and stakeholder management.
• Deliver, high quality, timely validation reports that add value to the business.
• Liaise with 1LOD and other model stakeholders as appropriate to ensure issues have been adequately resolved.