Model Risk Management Role - PPNR Model - BFS/IT

PPNR - MRM position

Model Risk Management ("MRM") is responsible for providing second line of defense

- Independently Validate & challenge models developed by first line of defense in accordance with MRM Policies & procedure

- Set policy, standards and guidelines for managing model risks;

- Provide advice and guidance to support those policies; and

- Review and challenge of the first line of defense model risk activities to provide assurance to the Model Risk Steward.

- Effectively challenge models and critical processes implemented for use across different HSBC legal entities and functions

Major Duties:

- Candidate should have worked on either development or validation of econometric forecasting PPNR models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income ("NII"), Non Interest Revenue ("Non-NIR"), Interest Rate Exposure ("IRE"), Economic Value Sensitivity ("EVS"), and other associated PPNR/Interest rate risk metrics. Model development/validation experience in other Finance and Credit Risk areas is also desirable.

- Proficiency in SAS / R, Python MS Office tools like Excel & PowerPoint

- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value

- Candidate should have understanding of statistical techniques such as Time Series Analysis, Panel Regression, Error Correction Models, Seemingly Unrelated regression, Co-integration, and Linear/Logistic Regression.

- Candidate should be able to effectively steer stakeholder conversations with FLoD including Model developers/Sponsors/Business, etc. He/she should be able to effectively contribute in developing or maintaining a comprehensive model validation framework that adopts a consistent approach to data quality and modelling methods, audit, back test, tracking, Annual/Semi Annual/Quarterly validations. This is critical in regulating, monitoring and reducing the model risks.

- Candidate should have well-rounded understanding of various other mandatory regulatory expectations such as CCAR -FRB/OCC/PRA ACS Stress Test guidelines and SR 11-7. Person should be familiar with concepts of time series modelling and its use in different stress testing exercises.

- Candidate should have good understanding of Wholesale/Retail - AIRB/CCAR models as well as basic understanding of different wholesale portfolios such as Corporate, NBFI's, SME, MME and Large and global enterprises etc. or Retail Portfolios such as Cards, Mortgages, Payrolls, PILs, DDA Deposits, Time Deposits, etc. He/she should be able to validate models used for different regulatory perspective such as OCC/FRB, EBA Guidelines and PRA regulations.

- Enthusiasm for proactively seeking, exploring and developing use cases for new data and/or tools/wider industry trends

- Candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model

- Excellent written and verbal communication skills. Ability to develop and effectively communicate complex concepts and ideas. Candidate should be able to independently handle complicated communication with different stakeholder such as Senior IMR Leads and Heads, Central Stress Testing Team, Internal Audit, and Model owners if/as and when needed.

- Master's/Bachelor's degree in Mathematics/Statistics/Economics/Engineering/Computer Science/Management or any other quantitative fields of study