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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 and Operational (TnO) Risk Analytics team deals with risk models for measurement of trading book risks, treasury and liquidity risks as well as operational risk. Its focus are risk models used for Credit, Interest Rates, Equity and FX asset classes. This includes market risk, credit counterparty risk and stress testing models. The team is scattered across several hubs (in particular London, NY, Paris, Kraków and HK) 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. This role is responsible for supporting our EQ/FX team. It consists of robust development and maintenance of risk models and methodologies that are under remit of the GRA TnO team. The role is a senior role in Kraków-based team.
Job Responsibility:
Identify areas for improvements, automation and enhanced controls for risk models for all asset classes
Assess and validate performance of the models using real world data
Understand features, assumptions and limitations of the models, propose a validation approach, identify target market data and undertake validation
Develop new models (methodology and computing tools) to cover new / identified risks
Articulate our modeling approach to internal and external stakeholders (incl. regulators) in a non-technical language if required
Assist in the on-going application of the models in a business-as-usual risk management framework
Work with a degree of autonomy, dealing with complex technical information while still being able to provide judgment and clear direction
Participate in ad hoc projects
Requirements:
Experience in the financial industry involving quantitative finance and/or risk modelling
M.Sc./Bachelor holder in Quantitative Finance/Physics/Mathematics or related disciplines
Sound understanding of financial mathematics, mathematical analysis, statistics and linear algebra
Sound understanding of risk measures
Knowledge of derivative products and their pricing
Good knowledge of Python programming language
Open personality and effective written and oral communication skills in English
Nice to have:
Knowledge of Bloomberg
Knowledge of key regulatory requirements and bodies
Experience in writing and reviewing methodology documents
Professional qualifications such as FRM/CQF/PRM
What we offer:
Competitive salary
Annual performance-based bonus
Additional bonuses for recognition awards
Multisport card
Private medical care
Life insurance
One-time reimbursement of home office set-up (up to 800 PLN)
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