HSBC

Banque de réseau

★★★★★

Risk quantitative analyst - collateral management H/F

09 décembre England - Greater London, London CDD

HSBC are currently recruiting for a Risk Quantitative Analyst - Collateral Management. The Risk Quantitative Analyst - Collateral Management is responsible for identifying and investigating deficiencies in current Margining models (SIMM); current Collateral management framework (Eligibility criteria, Haircuts, Liquidity Risk) and Collateral modelling within CCR models (Collateral risk, MPoR calculation) due to the IBOR transition.

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 for the Risk Quantitative Analyst - Collateral Management are

* Review and improve or re-build the existing suite of models and methodologies,
* Drive improvements to the systems and data infrastructure supporting deployment of the models, and
* 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
* This role is responsible for ensure that the quantitative framework of CCPs remains fit per purpose.
* Engagement & collaboration with Risk Transformation for the IBOR program
* Contribute to High Level Requirements for IBOR program
* Review/understand the impacts of proposed FO Models
* Review/implement changes into the SIMM is correctly computed
* Ensure that Collateral Risk framework remains fit per purpose
* Ensure that Collateral Risk is correctly captured in the Counterparty Credit Risk systems
* Ensure that CCPs quantitative models are fit per purpose
* Impact analysis on the Counterparty credit Risk figures due to Liquidity Risk
* Ensure that we are aligned with Regulatory requests regarding the IBOR transition
* Impact Analysis on limits, based on industry proposed methodology on terms structure and credit spread and transition timing to new Rates benchmark

The Risk Quantitative Risk Analyst - Collateral Management will have experience in:

* 4 years+ experience in Traded Risk Analytics
* Understanding of CCR risk, CCP margin models, Margin models, Collateral risk is a plus
* Expert python programming is a plus
* Good knowledge of Markets/Derivatives products
* Quantitative knowledge of pricing models, in particular IR models is a plus
* Ability to interpret complex risk reports from multiple sources and ability to identify key material risks
* Understanding of traded risk regulation and incoming regulatory directives