Quantitative Analyst - Credit Risk Modelling

  • 20 novembre
  • England - Greater London
  • CDD
HSBC are seeking an experienced Quantitative Analyst - Credit Risk Modelling . The Quantitative Analyst - Credit Risk Modelling has the responsibility of leading quantitative development, validation and monitoring of the Global Wholesale Advanced Internal Risk Based (AIRB).

The Quantitative Analyst - Credit Risk Modelling key accountabilities:

* Credit risk models' quality, methodology and design directly impact business investment decisions through loss given default and exposure at default and probability f default (LGD, EAD and PD)
* Credit risk models directly impact bank's capital position
* Credit risk models impact business portfolio management decisions (by allocating of the capital to different business lines and sectors)
* CMB business line is the main stakeholder and the user of corporate AIRB corporate models. Those models directly drive their portfolio management decisions through the sector risk analysis and capital allocations.
* Position is leading the work of quantitative analysts covering Global AIRB model development, validation, monitoring and implementation.
* Position plays an important role as a member of the Regional RRA team in charge of the whole Risk Rating System for the bank making the decisions related to model methodology, project planning and AIRB coverage for Global Models.

The Quantitative Analyst - Credit Risk Modelling will have experience within:

* Minimum 6 years of wholesale modelling experience
* Minimum 2 years of managerial experience leading the quantitative teams
* Desirable Masters/PhD level in Math (or equivalent)/Science/Engineering discipline)
* Desirable experience with Moody's RiskCalc and RA5
* Excellent understanding of AIRB modelling
* Proficiency in manipulation of large data sets and excellent understanding of credit risk related data
* Excellent knowledge of SAS data manipulation and statistical analysis is of benefit
* Excellent communication skills and the ability to maintain close working relationship with related parties
* Assisting to develop and implement the changes in process, including policy and procedure.
* Very good understanding and interpretation of regulatory rules