IMR Manager.

Location – London

Pay rate - £522/Day PAYE to £669/Day Umbrella

Duration – End of March 2022

Start date - ASAP

The Independent Model Review (IMR) team, part of Model Risk Management (MRM), is a specialist quantitative team and are responsible for carrying out independent validations of HSBC’s new and existing business use of quantitative models, to identify and communicate model risk. Model types include, but are not limited to Credit Risk models (Retail and Wholesale), IFRS9 models, Stress Testing and Scenario Analysis models, Economic Capital models, Financial Vulnerability Models, Pricing models, Traded Risk Models, Insurance Risk models. This includes the traditional model types as well as modern approaches such as machine learning (ML) and artificial intelligence (AI) techniques.

IMR provides independent challenge of a model’s underlying theoretical assumptions and limitations, its practical implementation, its live application and business usage, providing stakeholders (including model users, senior management, audit and regulators) with assurance that models and tools developed, maintained and used within HSBC Group are fit for their intended purposes and are compliant with applicable internal and supervisory expectations.

Principal Accountabilities

• Carry out independent reviews for models developed and used within the functional areas being supported, and support model review work for other areas of the Bank
• Support Global Head of Function to provide oversight of models, including driving model approval decisions and monitoring model performance
• Help build management, regulatory, and external confidence in the models
• Provide robust challenge and guidance across entities / countries within the region enabling business growth while maintaining model risk within appetite.
• Interaction with model owners (and other relevant model stewards) to coordinate model reviews and to report and discuss key findings
• Interaction with model developers to obtain evidence as part of model review work
• Support the interaction with Group Internal Audit on model related audits and audit issues
• Ensure that all Risk Steward function deliverables to your stakeholders are concise, precise, impactful and actionable.
• Effectiveness of implementation of IR process, techniques and other associated methodologies
• Oversight of implementation of any audit recommendations for IR related areas

Knowledge & Experience / Qualifications 

Knowledge:

• Strong knowledge in Market Risk models: market risk metric and capitalization, historical data and time series analysis, instrument valuation and risk sensitivity, and regulatory framework including FRTB.
• 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.
• Comprehensive knowledge of statistical model and scorecard development techniques
• Detailed knowledge of Risk models, performance metrics and risks and associated issues
• Detailed knowledge of internal procedures and local regulations and those of other country regulators

Experience:

• Experience with some statistical modelling software / programming language e.g. SAS, Python, R, Matlab, C++, VBA
• Experience of developing and Risk models throughout the customer lifecycle
• Experience of presenting recommendations to Senior Management
• Experience of conducting independent model reviews

Skills:

• Ability to present complex statistical concepts and results to non-technical audiences in a persuasive and compelling manner.
• Team-oriented mentality combined with ability to complete tasks independently to a high quality standard

Qualifications

• Master’s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering 

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