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Joboffer number #282102

Quantitative Model Validation – Market Risk (IMR/Quant/09/2016)

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Job ad expired!

Job Description

Ref No: IMR/Quant/09/2016
Location: Krakow

As an integral component of HSBC’s Risk Management Framework, the purpose of Independent Model Review (IMR) is to assess all models used within the Group. The function provides the Group's Management, Regulators and Shareholders with the necessary assurance that the Bank's models are well controlled and fit for purpose. Model types include Asset Management models, Economic Capital models, Financial Vulnerability Models, Global Markets Trading & Hedging models, Insurance Risk models, Retail and Wholesale Credit Risk models, Stress Testing and Scenario Analysis models and Traded Risk Models.
With continued and increasing focus on the management of model risk within financial institutions, independent model review teams play a key role in the assessment of inherent and residual model risks in increasingly complex and fast moving markets.

Key Accountabilities:

  • Validate the key aspects of models under review such as: choice of modelling approach, underlying assumptions and associated limitations, performance, documentation and governance, against regulatory requirements and global standards.
  • Document findings and appraisal outcomes in the time schedule defined jointly with the model owner.
  • Work effectively with the other IMR (local and other sites) quantitative analysts.
  • Work with Senior Managers across IMR to build relationships with Model Developers / Owners.

  • Masters / PhD Graduate in a quantitative discipline e.g. Quantitative Finance, Mathematics, Statistics, Physics, Engineering, Computer Science, etc.
  • Professional qualifications such as PRM, FRM, CFA or CQF will be considered a plus.
  • Excellent verbal and written communication skills.
  • Ability to present statistical concepts to non-technical audiences in a persuasive and compelling manner
  • “can-do” attitude

Technical Qualifications:
Successful candidates can choose to possess one of the following technical orientations:

1. Expertise in Quantitative Financial Models.
o Knowledge of quantitative techniques used in development / validation of market risk models e.g. stochastic differential equations, numerical methods, probability theory, and statistics.
o Practical experience in development / validation of market regulatory risk measurement tools:
 Value at Risk
 Basel
 Stress Testing
 Reserves calculations
 RWAs
o Understanding of and/or work experience with FX, Interest Rates and Equity Derivatives and pricing models associated with their valuation (e.g. Black Scholes, Local Volatility, SABR etc.)
o Good practical knowledge of one programming language (C/C++, Python, R, Matlab, or VBA).
o At least 3 years of industrial experience in quantitative financial model development and / or validation.

2. Expertise in Coding/Developing Skills.
o Excellent programming skills in one of the object-oriented languages (such as C++, C#, Java, etc.) with at least 3 years of experience.
o Experience with at least one scripting language, such as R (preferred) or Python.
o Solid knowledge of software project management.
o Good understanding of quantitative finance, such as derivatives pricing and risk measure methodology.

We offer:
  • Stable job positions in professional team,
  • Promising career path in a global organization,
  • Consistent scope of responsibilities,
  • Private health care and employee’s benefits.

To apply for this position please send your curriculum vitae and a cover letter in English, including reference number (IMR/Quant/09/2016) using email

You’ll achieve more at HSBC.

HSBC takes pride in a diverse and inclusive working environment that sees our people benefit from mentoring, flexible working and the support of Employee Resource Network Groups. Personal data held by the Bank relating to employment applications will be used in accordance with our Privacy Statement, which is available on our website.
We thank all interested candidates for their applications. We reserve the right to contact only selected candidates. Only those applications that include the candidate's consent to process personal data by HSBC Service Delivery (Polska) Sp. z o.o., in accordance with the Data Protection Act as of 29 August 1997 (Journal of Acts of 2002, No 101, pos. 926 with later amendments) will be considered.

Darbo skelbimo numeris

Job type:
Additional info:
Expiration date:
02 November 2016
04 October 2016

CV Market´s client

If you're looking for a role where you can continue to make an impression, take the next step at HSBC where your contribution will always be valued.

Global Risk stands for the expert risk management function supporting HSBC globally with all aspects of risk management. The team actively manages a varied and dynamic range of risk types, including security, fraud, information security, operational, credit, pension, insurance, compliance, regulatory, market, reputation and geopolitical risks. All parts of the Global Risk team use their skills, insight and integrity to handle established threats and those they see emerging, acting to protect and enable HSBC to deliver sustainable growth.

Given the creation of the global Independent Model Review (IMR) team in Krakow, the function is seeking candidates at different experience levels to join its Market Risk team.

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Quantitative Model Validation – Market Risk (IMR/Quant/09/2016)
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