Margin and Counterparty Credit Risk Quantitative Analyst Margin and Counterparty Credit Risk Quantitative  …

HSBC
in London, United Kingdom
Contract, Full time
Last application, 24 Oct 20
Negotiable
HSBC
in London, United Kingdom
Contract, Full time
Last application, 24 Oct 20
Negotiable
Excellent opportunity for a Quant Analyst for fully designing, calibrating, and validating the adequate Collateral Risk Model, including margin (Dynamic Initial Margin) within IMM.

This is a role for fully designing, calibrating, and validating the adequate Collateral Risk Model, including margin (Dynamic Initial Margin) within IMM.

Requirements:

  • CCR/IMM modelling experience
    • CCR/XVA/Pricing Quantitative Analytics team. Having been personally involved in building simulation models. Key risk measures such as EEPE, PFE and XVAs
    • Margin Algorithm, Collateral Risk, Dynamic Initial Margin. Key risk measures: MVA
    • Validation of CCR/IMM. Backtesting of CCR models.
  • Margining modelling experience:
    • Initial Margin models like ISDA SIMM, and other Initial Margin computation (as CCP IM).
    • Validation of margin models. Backtesting of margin models

Key Accountabilities:

  • Ability to lead on an IMM regulatory submission for DIM involving:
  • Design and implementation of a model that addresses business requirements
  • Design and implementation a model validation framework that assess model adequacy
  • Documentation of the model following given standards
  • Understanding of regulatory requirements and prepare accordingly.
  • Effective communication with the GRA team at both Regional and Group levels ensures there is a strong common understanding of the DIM model and that best practices are being applied.
  • Providing bespoke analysis for new business helps ensure that the business can make appropriate risk/capital assessments with regards to DIM modelGeneric skillset:
  • Minimum Masters level in Math/Computer Science/Engineering discipline
  • Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
  • Developer with experience in python
  • Ability to lead, coordinate the work of other team members, 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.
  • Open personality and effective communication skills, ability to work in an international team

Ability to write clear

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