Assistant Vice President - Decision Science

Hsbc

10 - 15 years

27 - 32 Lacs

Bengaluru

Posted:8 months ago| Platform:

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Skills Required

Stress testing C++ Automation Market risk market data Assistant Vice President Risk management Financial services Python

Work Mode

Work from Office

Job Type

Full Time

Job Description

Principal responsibilities

Develop and enhance risk models using real world data. The model could be an existing or a new model. Understand the features, assumptions and limitations of the model, propose a validation approach, identify target market data for the purposes of validation and undertake the validation within agreed time lines.
The market risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Stress Testing, Economic Capital, Incremental Risk Charge (IRC), Fundamental Review of Trading Book (FRTB)
Participate in adhoc projects as they arise from time to time and provide any information relating to in a prompt and coherent fashion.
Suggest improvements to the existing frameworks with a view to automate systems and help implement agreed changes
Identify areas for efficiency improvements, automation and enhanced controls in existing processes. Document proposed changes and agree with the on-shore process team prior to implementation. Document all process changes and improvements to reflect the latest process
Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes

Requirements

Qualification in Maths / Engineering / Science / Finance / Business Management or previous experience in risk management.
Basic understanding of market risk measures and derivative products
Professional qualifications such as FRM/PRM/CFA Levels are an added plus
Good understanding of statistics
Python and Excel VBA skills are a pre-requisite, C++ is an added benefit
Competent in the production of information, and the ability to process and analyse large volumes of data
Ability to work under pressure and to tight time-lines is essential
Open personality and effective communication skills, ability and flexibility to work in an international team
Ability to write clear and understandable documents

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