Traded Risk Control Analyst (FRTB) -HSBC
This is an excellent opportunity for an experienced Traded Risk Control Analyst with a background in Banking and knowledge of FRTB.
Key Skills required for this role:
Experienced in Market Risk, FRTB knowledge, VaR calculation, sensitivities & Greeks, VBA, Excel & Access.
The scope of responsibilities includes the following:
- Analytical review of Global & HBEU Market risk limits
- Analytical review of consolidated reporting of Market risk measures for capital reporting purpose - which includes VaR, Stressed VaR (SVaR), Incremental Risk Charge (IRC) and RNIV.
- Consolidate Risk Management Committee packs and present to the Head of Traded Risk.
- Model Performance review - specifically VaR back testing, hypothetical portfolio back testing. Preparing back testing packs for Europe & Middle East region and providing inputs to the Global pack.
- RWA reporting - Analytical review and commentary of MI pack for Market Risk RWA requirement
- Support various projects on methodology change and estimate RWA impact as a result of those changes
- Computation of Maximum Stressed VaR period, globally.
- Ad hoc regulatory projects (Stress testing, FRTB, Recovery & resolution etc)
- Assisting offshore team in coordinating and following up with sign off from Market Risk managers of respective desks and/or regions.
- Supporting a continuous process of offshoring and facilitating the transfer of daily reporting preparation tasks to offshore centres.
Knowledge & Experience / Qualifications
Technical Skill Requirements:
- Good knowledge of VaR calculation, sensitivities & Greeks.
- Knowledge of trading business, derivative products, risk methodology and regulatory framework.
- Strong mathematical background
- Proficient in VBA, Excel & Access
- University graduate in finance, computer science or numerate disciplines
- Professional qualification such as CFA/FRM or similar Financial & Risk management disciplines is an added advantage
Personal Skill Requirements
- Strong presentation skills to brief senior management on topics or summarise key information
- Excellent interpersonal and relationship skills with customers, especially within high pressure periods
- Experience of working in Market risk with strong analytical reporting background
- Previous working experience on MDX queries will be an added advantage
Please submit your CV in the first instance