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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