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North America-United States-New York-New York
Develop advanced risk methodologies including sophisticated quantitative methodologies to measure counterparty credit and market risk exposures, leading the effort of counterparty credit risk application, and to enhance Value-at-Risk model, etc. Research and develop new risk methodologies to satisfy requirements of BASEL 3, OCC, FRB, PRA, and other regulatory frameworks (such as regulatory stress test, alternative credit assessment to the external ratings issued by nationally recognized statistical rating organizations, liquidity risk assessment, etc.). Develop model validation methodologies for new risk models and for on-going model validation. Develop methodologies that help business to assess RWA impact of new products and trading strategies to achieve efficient risk weighted capital return. Fully understand and implement regulatory capital charge formula for counterparty credit risk. Research and develop methodology to address regulatory concerns and toward audit points removal. Develop methodologies to enhance the calculation efficiencies for large-volume trading while retaining reasonable accuracies – theoretical as well as practical. Prototype and coordinate the methodology and enhancement implementation with IT team. Identify weaknesses and propose enhancements to satisfy all regulatory requirements and regulatory stress test (CCAR/DFAST/PRA). Perform ad-hoc analysis in various aspects of risk measurements, stress tests, what-if analysis on the existing portfolios and during new product/transaction approval; and on demand quantitative support for businesses, and traded risk management and control functions. Review, validate and document risk methodologies across asset classes.
TO APPLY: Must reference “Job Code: 3746” to be considered. Apply by mail - Attention: Sarah Scibelli, HSBC Bank USA, N.A. 95 Washington Street, Atrium 1NW, Buffalo, NY 14203.
Must have a Master’s degree in Computer Science, Data Science, Math, Physics, Financial Engineering, or related quantitative field and one year of related work experience.
Qualifying experience must include: -
- Financial derivatives within difference asset classes and in depth knowledge of credit and market risk exposures.
- Quantitative and data analytical skills including at least one programming language: Python, VBA, or C/C++.
- Quantitative financial methodologies, Risk modelling and Risk system/Model Implementation.
- A combination of the following: Regulatory stress test, Counteryparty Credit Risk exposure, CVA, Market Risk VaR methodology or regulatory capital calculations.