CCR&XVA Quantitative Manager (H/F)

Résumé du poste
CDI
Paris
Salaire : Non spécifié
Télétravail fréquent
Compétences & expertises
Conformité légale
Java
Teamwork
Python
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HSBC
HSBC

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Le poste

Descriptif du poste

Description de l’emploi

At HSBC, we’re a trusted international organization with a global customer base of around 39 million customers worldwide through a network that covers 62 countries and territories. In Europe, our ambition is to become the leading international wholesale bank and we need talent like you to help us meet our ambition. Whether you want a career that could take you to the top or in an exciting new direction-we offer opportunities, support and rewards that will take you further.

Here in France, you’ll help evolve and grow our business.

What you’re going to do:

This is a role responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management. Throughout the process, regular inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills. The core objectives are:

- to review and improve or re-build the existing suite of models and methodologies,

- to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and

- to coordinate projects aimed at aligning methodologies, governance, and policies around the Group, and

- keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and

- engage in industry discussions aimed at informing policy.

Principal Accountabilities: Key activities and decision-making areas, typical Targets and Measures

Impact on the Business/Function

  • Appropriately calibrated and applied traded credit models helps ensure that risk is more accurately quantified, allocated and managed. This in turn leads to more appropriate risk-return analysis for the business.
  • Regulatory approval for effective traded credit models aligns risk measurement and capital. This is optimal and removes arbitrage.
  • Understanding of regulatory requirements means the business is forewarned of changes in the regulation and can prepare accordingly.
  • Effective communication with the GRA team at both Regional and Group levels ensures there is a strong common understanding of the models and that best practices are being applied.
  • Providing bespoke analysis for new business helps ensure that the business can make appropriate risk/capital assessments.
  • Understanding of mathematical concepts behind models already implemented
  • Ability to navigate through the existing analytical modules of the CCR&XVA Library
  • Ability to propose mathematically sound alternative to address methodology deficiencies.
  • Ability to modify existing library component to resolve issues
  • Ability to adopt Test Driven approach in methodology construction and while developing in the library
  • Ability to run batches and test suites
  • Ability to document and to use communication tools at disposition to convey the right message to stakeholders
  • Appetite to learn and enthusiasm in performing daily task including the less glamorous ones

Customers / Stakeholders
  • Traded Credit Risk Management
  • XVA business (Trading, Product Control)
  • Capital Management (Sales, Structuring/Trading, Regulatory Finance)
  • Regulators (e.g. OCC/FRB, ECB, PRA, HKMA,…etc)

Leadership & Teamwork
  • Align to team key priorities and objectives
  • Make yourself available in crisis scenario to help the team deliver even when outside your core project.
  • Proactively manage model development projects: attention to time schedule and resource planning, lead panel meetings and discussion with business experts, write good quality and comprehensive documentation.
  • Establish and maintain strong working relationships with key stakeholders

Operational Effectiveness & Control
  • Identification of gaps in risk models and approaches to mitigate
  • Ensure effective on-going validation
  • On-going review of testing process/policy
  • No high-risk audit points
  • Consistent with Group policies, Regulatory requirements, and best practice

Apply if you feel you match these skills.
  • Understand traded credit risk and quantify risks using advanced mathematical technics (Stochastic calculus) and programming languages (C++, Python, Java).
  • Forming a good understanding of the credit risk exposure taken within HSBC to guide the development of new or enhanced risk methodologies.
  • 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
  • Developing a clear understanding of regulatory expectations and requirements which can then be communicated internally and externally
  • Being able to lead and manage a project involving different stakeholders across several geographies
  • Must be able to work autonomously and be able to meet tight deadlines.
  • Must be able to manage ambiguous requirements and make effective decisions in this context.
  • The nature of the role requires close working contact with personnel across many different areas of business and risk, in all regions of the Group
  • The role is in the Global Risk Analytics (GRA) function. This area is responsible for the definition and development of risk measures, models, related policies, and strategy for managing risk. This includes the development, refinement, review and on-going validation of risk measures and models used within the HSBC Group
  • The jobholder will also continually reassess the operational risks associated with the role and inherent in the business, taking account of changing economic or market conditions, legal and regulatory requirements, operating procedures and practices, management restructurings, and the impact of new technology.
  • This will be achieved by ensuring all actions take account of the likelihood of operational risk occurring.
  • Also, by addressing any areas of concern in conjunction with line management and/or the appropriate department.
  • Observation of Internal Controls (Compliance Policy / FIM requirements)
  • The jobholder will also adhere to and be able to demonstrate adherence to internal controls. This will be achieved by adherence to all relevant procedures, keeping appropriate records and, where appropriate, by the timely implementation of internal and external audit points, including issues raised by external regulators.
  • The jobholder will implement the Group compliance policy by containing compliance risk in liaison with Global Head of Compliance, Global Compliance Officer, Area Compliance Officer, or Local Compliance Officer. The term ‘compliance’ embraces all relevant financial services laws, rules, and codes with which the business has to comply.
  • This will be achieved by adhering to all relevant processes/procedures and by liaising with Compliance department about new business initiatives at the earliest opportunity. Also and when applicable, by ensuring adequate resources are in place and training is provided, fostering a compliance culture and optimising relations with regulators.


Conditions

Knowledge & Experience / Qualifications (For the role - not the role holder. Minimum requirements of the role.)
  • At least 4 years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building CVA Sensitivities models and developing solution in Java or C++ libraries.
  • Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
  • Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE.
  • Minimum master’s level in Math/Computer Science/Engineering discipline
  • Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
  • Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite
  • Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine
  • Expert Java or C++ developer not afraid to learn other languages (passionate about profiling, refactoring, and optimising messy code) and with Test Driven Development approach
  • Open personality and effective communication skills, ability, and flexibility to work in an international team
  • Ability to write clear and understandable documents

Even if you feel you do not fit 100% of our qualifications, we encourage you to not let this hold you back from applying if you believe this is the role for you.

What you’ll get in return:
  • We’ll help you progress your career, including access to development programs, mentoring and coaching, as well as world-class training through HSBC University.
  • You can work your way and will have a say in when, where and how you and your team flexibly work together.
  • Our flexible benefits will give you financial security, including employer-funded pension, Holiday vouchers based on your reference tax income. Our family-focused benefits can help you to support your loved ones, including partial reimbursement of childcare costs, allowance for parents of children with disabilities, days off for key events (weddings, moving house),
  • We’ll give you a huge range of resources that support your mental, physical and social well-being, including free access to Headspace app, health checks, 5 weeks paid vacation.
  • You’ll have opportunities to work internationally - this can be your place to start and branch out to anywhere we have offices.
  • You’ll be able to join our Employee Resource Groups that bring together colleagues with shared characteristics and common interests.

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