Ccr&xva Quantitative Manager

-Description de l'emploi

At HSBC, we’re a trusted international organization with a global customer base of around 39 million customers worldwide through a network that covers 62 countries and territories. In Europe, our ambition is to become the leading international wholesale bank and we need talent like you to help us meet our ambition. Whether you want a career that could take you to the top or in an exciting new direction—we offer opportunities, support and rewards that will take you further.

Here in France, you’ll help evolve and grow our business.

**What you’re going to do**:
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.

**Principal Accountabilities: Key activities and decision-making areas, typical Targets and Measure**s

Impact on the Business/Function
- 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 ones

**Customers / Stakeholders**
- Traded Credit Risk Management
- XVA business (Trading, Product Control)
- Capital Management (Sales, Structuring/Trading, Regulatory Finance)
- Regulators (e.g. OCC/FRB, ECB, PRA, HKMA, etc)

Leadership & Teamwork
- Align to team key priorities and objectives
- Make yourself available in crisis scenario to help the team deliver even when outside your core project.
- Proactively manage model development projects: attention to time schedule and resource planning, lead panel meetings and discussion with business experts, write good quality and comprehensive documentation.
- Establish and maintain strong working relationships with key stakeholders

Operational Effectiveness & Control
- Identification of gaps in risk models and approaches to mitigate
- Ensure effective on-going validation
- On-going review of testing process/policy
- No high-risk audit points
- Consistent with Group policies, Regulatory requirements, and best practice
- Understand traded credit risk and quantify risks using advanced mathematical technics (Stochastic calculus) and programming languages (C++, Python, Java).
- Forming a good understanding of the credit risk exposure taken within HSBC to guide the development of new or enhanced risk methodologies.
- Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes
- Developing a clear understanding of regulatory expectations and requirements which can then be communicated internally and externally
- Being able to lead and manage a project involving different stakeholders across several geographies
- Must be able to work autonomously and be able to meet tight deadlines.
- Must be able to manage ambiguous requirements and make effective decisions in this contex