Quantitative Analyst - Counterparty Credit Risk /XVA Quantitative Analyst - Counterparty Credit Risk  …

HSBC
in London, England, United Kingdom
Contract, Full time
Last application, 17 Feb 20
Negotiable
HSBC
in London, England, United Kingdom
Contract, Full time
Last application, 17 Feb 20
Negotiable
This is a role for fully designing, implementing and documenting the Dynamic Initial Margin Model in given Monte Carlo IMM framework.

HSBC are recruiting for an experienced Quantitative Analyst - Counterparty Credit Risk /XVA. The Quantitative Analyst - Counterparty Credit Risk /XVA is responsible for fully designing, implementing and documenting the Dynamic Initial Margin Model in given Monte Carlo IMM framework.

The Key Accountabilities for the Quantitative Analyst - Counterparty Credit Risk /XVA:

  • Ability to design and implement a model that addresses business requirements
  •  Ability to design and implement a model validation framework that assess model adequacy
  •  Ability to effective document the model following given standards
  •  Understanding of regulatory requirements means the business is forewarned of changes in the regulation and can prepare accordingly.
  •  Understanding of mathematical concepts behind CCR and Collateral models already implemented
  •  Ability to navigate through the existing analytical modules of CCR Aggregation and Collateral libraries
  •  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.

The Quantitative Analyst - Counterparty Credit Risk /XVA will have experience in:

  • At least 10 [8] years of experience in CCR/XVA/Pricing Quantitative Analytics team. Having been personally involved in building simulation(Monte Carlo scenario generation) models and developing simulation solution
  •  Ideally previously involved in successful DIM implementation for IMM (and/or good to have DIM implementation for MVA)
  •  Previously involved or familiar with CCR backtesting for IMM
  •  Ideally previously involved in successful regulatory submissions
  •  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 ISDA SIMM, and good to have familiarity with other Initial Margin computation (as for instance, CCP IM)
  •  Clear and demonstrable familiarity key risk measures such as MVA, CVA, EPE, PFE.
  •  Minimum Masters level in Math/Computer Science/Engineering discipline
  •  Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
  •  Developer with demonstrable experience in python/JAVA/C++

Close
Loading...