Global Risk Analytics (GRA) is a global team responsible for development of risk models for broad classes of financial and operational risks at HSBC. We are tasked with setting standards and providing mission-critical, cutting-edge tools to help identify, measure and manage risk, as well as enhance an enterprise-wide compliance across HSBC.
The GRA Traded, Treasury and Operational (TTOP) Risk Analytics deals with risk models for measurement of trading book risks, treasury and liquidity risks as well as operational risk.
GRA TTOP CCR&XVA team develops robust models for counterparty credit risk (CCR) and derivative valuation adjustments (XVA). The team is scattered across global locations (London, Krakow, Hong Kong, Toronto) and holds responsibility for development and First-Line-of-Defense validation of these models. The team focuses on models used for risk reporting for the whole HSBC group and cooperates with regional GRA teams on matters related to local risk reporting.
Key Accountabilities:
- Development of Cross-asset library for calibration, simulation, pricing, aggregation and sensitivity computation
- Assess and validate performance of the models using real world data
- Support the ongoing maintenance of the CCR/XVA library
- Understand features, assumptions and limitations of the models, propose an enhancement approach, identify target market data
- Drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models
- Coordinate projects aimed at aligning methodologies and governance
- Assist in the on-going application of the models in a business-as-usual risk management framework
Key Skills and Qualifications for this role
Requirements:
- At least 4 years of experience in a quant role
- Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE
- Minimum Masters level in Math/Computer Science/Engineering discipline
- Excellent understanding of Stochastic Calculus applied to quantitative finance and knowledge of numerical optimisation technics and challenges
- Strong C++, Python and Linux skills. An expirence with: Apache Beam, GCP, MKL, Protobuf, CMake, Jenkins, Docker or similar is welcome.
- Open personality and effective communication skills, ability and flexibility to work in an international team
- Handling data analysis tasks under stressed timeline (hours)
- Well organized managing multiple tasks in parallel