Senior Risk Quantitative Analyst - Market Risk
Tasks:
* Developing, documenting and maintaining the following model types:
o Market Risk
o Counterparty Credit Risk (CCR)
o Stress Testing
o Economic Capital
* Participating in the preparation of documentation and analysis submitted to the regulators and the 2nd and 3rd lines, ensuring the high level of quality of these submissions
* Understanding the model requirements originating from both the business and the regulators, to ensure that the developed models meet these expectations
* Regularly monitoring the performance of the full portfolio of Traded Risk models used by the group, and driving the remediation of identified weaknesses
* Actively engaging with the business to ensure a good understanding of impacts generated by the risk models, and providing guidance allowing the company to adapt their strategy
* Interacting with the regulator and the key local stakeholders, by developing expertise on the whole perimeter of GRA Traded Risk models and their usages
* Promoting coordination with global projects by ensuring proper alignment between the models developed globally and the requirements of HSBC Continental Europe
- Higher degree in a quantitative discipline (PhD, MSc), with a background in Quantitative Finance
- Strong experience in the modelling of market risk and or counterparty credit risk, with experience in the Basel regulatory frameworks
- Strong understanding of derivatives products and their inherent risks
- Experience with programming languages such as Python, C++, SQL
- Strong analytical and problem-solving skills, with attention to details
- Appreciates teamwork in an international environment
- Good relationship skills for exchanging with internal and external stakeholders (business, internal validation, audit)
- Fluent knowledge of English and French, spoken and written
