Quantitative Modeller

Global Finance at HSBC Technology Poland aspires to be the best finance function in the financial services industry, delivering powerful insights to our customers. We work seamlessly as a team to support HSBC's businesses and deliver our strategy.

This role is focused on building new, future-proof modelling solutions using statistical modelling and machine learning techniques. You will develop prepayment/pipeline models for mortgage products to hedge the risk and assess the IRRBB risk metrics.

Key responsibilities include:

• Developing required behavioural models for different products to assess the IRRBB risk metrics.
• Designing models supporting the Markets Treasury business and other functional Treasury teams where required.
• Proactively building tools in Python to test proposed models, formulate requisite analysis, and measure the impacts of model change.
• Working together with Financial Engineering and IT teams to contribute in the development of the One Treasury Platform.

Additional responsibilities include contributing to the improvement of these models through assessment of impact, model validation, and helping document changes for internal and external use. You will understand both regulatory and business requirements, ensuring that the models are fit-for-purpose.

The ideal candidate will have:

• Python programming skills, preferably in large scale financial or technical computations.
• Risk Modelling experience, preferably in the fields such as Risk Modelling, Stress Testing, Forecasting etc.
• 3+ years of relevant experience in analytics, preferably in Banking organizations.
• Excellent communication skills, including experience speaking to technical and business audiences and working globally.

A good understanding of banking risks and financial markets would be beneficial. Familiarity with vanilla interest rate derivative pricing, bond products pricing, curve construction, hedging strategies, and risk management would also be advantageous.