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This is a role responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management. 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 are
(1) to review and improve or re-build the existing suite of models and methodologies,
(2) to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and
(3) to coordinate projects aimed at aligning methodologies, governance and policies around the Group, and
(4) keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and
(5) engage in industry discussions aimed at informing policy.
Minimum Masters level in Math/Computer Science/Engineering discipline
Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques
Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite
Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine
Expert Java or C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approach
Open personality and effective communication skills, ability and flexibility to work in an international team
Ability to write clear and understandable documents
Internal Number: 5875260
About HSBC Bank plc
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