Role: Traded Risk Technical Author
Rate: £650 Per Day PAYE / £843.92
Location: London, Canada Square
Duration: ASAP – End of Jan 2023 (could possibility of extension )
Description of Role
Technical author who can articulate the mathematical equations, methodology document and overall submission pack to regional and Group regulators. The technical author is expected to be more proficient in Market Risk and familiar with CCR, Collateral Risk and Stress Testing.
This is a role responsible for writing new and enhancing existing methodology document. It also requires active participation in regulatory submissions as a technical author. The development and maintenance of risk model documentation for more accurate representation. The core objectives are to:
- Develop/Enhance Cross currency, fallback model documentation as per internal risk and regulatory requirements especially in light of the IBOR transition programme
- Develop/Enhance VaR, RNIV model documentation as per internal risk and regulatory requirements especially in light of the IBOR transition programme
- Contribute to the improvement of these modelling documentation through assessment of impact, model validation, and helping for internal (within HSBC) and external (PRA, ECB, HKMA, etc.) consumption.
- Understand both regulatory and business requirements, ensuring that the modelling documentations are fit-for-purpose
- Proactively build tools to capture the requisite analysis and to measure the impacts of model changes
- Be responsible for Model Life Cycle documentation - starting from defining the objectives to model development/testing, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny
- Coordinate projects dedicated to ensure global consistency i.e. across all regions / sites.
- Document the assessment and validation the performance of risk models using real world data. The model documentation could be an existing or a new model. Understand the features, assumptions and limitations of the model, validation approach, target market data for the purposes of validation and undertake the documentation for each aspect within agreed timelines.
- The market risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Incremental Risk Charge (IRC), Hair-cuts, EEP, Stress Testing, Fundamental Review of Trading Book (FRTB), Capital Models
- Periodic review of the available documentation according to priority from the Programme
- Participate in ad hoc projects as they arise from time to time and provide any information relating to in a prompt and coherent fashion.
- Suggest improvements to the existing documentation frameworks with a view to automate systems and help implement agreed changes
- Identify areas for efficiency improvements, automation and enhanced controls in existing processes. Document proposed changes and agree with the onshore process team prior to implementation. Document all process changes and improvements to reflect the latest process
- Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes
- Business with traded risk exposure
- Traded Risk Functions
- Independent Review Function Audit
Qualifications and Tech Skills
- Fluent in English (Spoken and Written)
- Excellent MS Word documentation skills
- Qualification in Maths/Engineering/Science/Finance/Business Management or previous experience in risk management
- Good understand pricing and risk management of Rates products
- Professional qualifications such as FRM/PRM/CFA Levels are an added plus
- Good understanding of statistics
- Good understanding of market risk measures and derivative products
Non-Technical Soft Skills
- Strong analytical skills
- Competent in the production of information, and the ability to process and analyse large volumes of data
- Ability to work under pressure and to tight timelines is essential
- Open personality and effective communication skills, ability and flexibility to work in an international team
- Ability to write clear and understandable documents
Desire to learn and grow in a challenging environment