Assistant Vice President, MRM – Market Risk @ HSBC Technology Poland

What you need to have to succeed in this role

• Master’s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering supported by general knowledge of the financial markets.
• Comprehensive knowledge of statistical and financial modelling techniques.
• Knowledge of Traded Risk (Market Risk and/or Counterparty Credit Risk) models and performance metrics (e.g., VaR, Stressed VaR, Incremental Risk Charge, Expected Shortfall, Default Risk Charge, Potential Future Exposure, Exposure at Default) and risks and associated issues.
• Awareness of Basel III regulatory frameworks (e.g., Basel 2.5, FRTB) and associated capital requirements regulations in local jurisdictions.
• Some knowledge of internal procedures and local regulations would be an advantage.
• Experience with at least one of statistical modelling software / programming language, preferably Python, R, MATLAB, C++.
• Experience in model validation, model development and/or quantitative research.
• Experience in presenting recommendations to Senior Management.
• Experience with handling requests from internal/external audit and regulators would be beneficial for more senior roles (Lead AVP /Senior AVP).

Some careers shine brighter than others.

If you’re looking for a career that will help you stand out, join HSBC, and fulfil your potential. Whether you want a career that could take you to the top, or simply take you in an exciting new direction, HSBC offers opportunities, support and rewards that will take you further.

Your career opportunity

Model Risk Management (MRM) at HSBC is structured as a global function, headed up by the Chief Model Risk Officer (CMRO). The MRM function reports directly to the Group Chief Risk and Compliance Officer (GCRCO) ensuring its independence from the model developing and owning areas of the firm. 

MRM are the second line of defence (2LoD) for Model Risk and the CMRO is the global Model Risk Steward for the group and is also accountable for the global operation of the MRM function. MRM teams are based in each region, to ensure local subject matter expertise and to guide, review, and challenge. MRM activity is managed on a global basis as many models are used in multiple locations. This enables MRM to operate consistently and efficiently globally, and to take account of additional local regulatory requirements.

Independent Model Validation is a specialist quantitative role within the Model Risk Management team responsible for carrying out independent validations of HSBC’s model landscape, in order to identify and communicate model limitations and issues. This role is part of the Traded Risk (Market Risk and/or Counterparty Credit Risk) validation team.

Independent Model Validation provides independent challenge of a model’s underlying theoretical assumptions and limitations, its practical implementation, its live application and business usage, providing stakeholders (including model users, senior management, audit and regulators) with assurance that models and tools developed, maintained and used within HSBC Group are fit for their intended purposes and are compliant with applicable internal and supervisory expectations. They will also review remediation plans and activities, undertake portfolio level reviews across model types and challenge the model owners on the appropriate application of relevant policy of models. 

Model types include but are not limited to Credit Risk models (Retail and Wholesale), IFRS9 models, Stress Testing and Scenario Analysis models, Economic Capital models, Financial Vulnerability models, Pricing models, Traded Risk models, Insurance Risk models and models covering non-financial areas e.g., transaction monitoring, customer selection and human resources. This includes the traditional model types as well as modern approaches such as machine learning (ML) and artificial intelligence (AI) techniques.

,[Undertake model validation and testing activities as dictated by the Global Model Risk Policy including the assessment of model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model. , Provide written reports detailing the results of validations highlighting issues identified during the validation. , Validate remediation activities completed by the ILOD to ensure appropriate resolution of identified issues., Work with relevant stakeholders to support the embedding of new Global Model Risk Policies and Procedures., Provide coaching and guidance to new starters and junior colleagues., Deliver, high quality, timely validation reports that add value to the business. , Liaise with 1LOD and other model stakeholders as appropriate to ensure issues have been adequately resolved., Communicate across technical quantitative, business and strategic levels to ensure that stakeholders understand the implications of model risks and limitations. ] Requirements: PhD, Degree, Quantitative research, Audit, Python, R, MATLAB, C++ Additionally: Training budget, Private healthcare, Flat structure, International projects, Multisport card, Monthly remote work subsidy, Psychological support, Conferences, PPK option, Annual performance based bonus, Integration budget, International environment, Small teams, Employee referral bonus, Mentoring, Workstation reimbursement, Company share purchase plan, Childcare support programme, Bike parking, Playroom, Shower, Canteen, Free coffee, Free beverages, Free parking, In-house trainings, In-house hack days, No dress code, Modern office, Knowledge sharing, Garden, Massage chairs, Kitchen.

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