HSBC Service Delivery (Polska) Sp. z o.o. is a part of HSBC Holdings plc, the parent company of the HSBC Group, headquartered in London. The Group serves customers worldwide from over 6,300 offices in over 75 countries and territories in Europe, Asia, North and Latin America, and the Middle East and North Africa. HSBC is one of the world’s largest banking and financial services organisations. Currently, we are looking for a candidate for the position of:
CCR&XVA Quantitative Analyst
Ref No: GFC/CCXVAQA / 02/2018
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
- 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 one
- At least 4 years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building simulation(Monte Carlo scenario generation) models and developing simulation solution in C++ libraries (Applies only to VP/GCB 4 applicants)
- Ideally previously involved in successful regulatory submissions (Successful ECB submission is a plus). (Applies only to VP/GCB 4 applicants)
- 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. (Applies only to VP/GCB 4 applicants)
- Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE. (Applies only to VP/GCB 4 applicants)
- Minimum Masters 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 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
- Stable job in professional team,
- Interesting path of career in an international organization,
- Consistent scope of responsibilities,
- Private health care, employees’ benefits.