Job description
Posted 25 January 2023
Traded Risk Quant Analyst HSBCJP00044370
London/Remote
Until end of 2023 with possible extension
Up to £950 per day via an approved umbrella company
This is a role responsible for supporting the development and maintenance of risk models and methodologies for more accurate traded risk measurement and management. The core objectives are to:
- Develop/Enhance VaR, RNIV models in Rates and Credit as per internal risk and regulatory requirements especially in light of the IBOR transition programme
- Contribute to the improvement of these models through assessment of impact, model validation, and helping document changes for internal and external use
- Understand both regulatory and business requirements, ensuring that the models are fit-for-purpose
- Proactively build tools in Python to test the proposed models, to formulate requisiste analysis and to measure the impacts of model change
- Be responsible for Model Life Cycle - 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 consistency across sites
Principal Accountabilities: Key activities and decision making areas
- Assess and validate the performance of risk models using real world data. The model could be an existing or a new model. Understand the features, assumptions and limitations of the model, propose a validation approach, identify target market data for the purposes of validation and undertake the validation within agreed time lines.
- The 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
- Build python based prototypes and risk library
- Participate in adhoc 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 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 on-shore 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
Customers / Stakeholders
- Business with traded risk exposure
- Traded Risk Functions
- Finance
- Independent Review Function
- Audit
Qualifications and Technical Skills (For the role – not the role holder. Minimum requirements of the role.)
- 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
- Python programming
- 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 time-lines 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