IRC/DRC Quant

Description

IRC/DRC Quant
Contract
12Months
£450 - £600
Inside IR35

This is a senior role responsible for the development and analysis of models, especially related to IRC and DRC, for market risk measurement in the Fixed Income (FI) space. The core objectives are
(1) to develop IRC/DRC models
(2) to develop code/prototypes for FI market risk models using specifications provided by quants/modelers
(3) to perform quantitative analyses for optimization of FI market risk models
(4) to develop code for interfaces to internal data systems used for FI market risk models
(5) to take part in the development of FI market risk models methodology including work on FRTB-related models and model changes

Role Content

• Must be able to work autonomously and be able to meet tight deadlines.
• Manage senior stakeholders, across business and Traded Risk
• The nature of the role requires close working contact with personnel across many different areas of business and risk and IT, in all regions of the Group
• The role is in the Global Risk Analytics (GRA) function within Traded Risk Analytics. This area is responsible for the definition and development of risk measures, models, related policies, and strategies for managing risk. This includes the development, refinement, review and ongoing validation of risk measures and models used within the HSBC Group

Qulifactions

• Minimum Masters level in Math/Science/Engineering/IT discipline
• Clear and demonstrable familiarity with key market risk measures and regulations
• Good knowledge of Interest Rate and Credit products, pricing, and risk models
• Advanced programming skills in Python. Knowledge of C++, Matlab and/or R is a plus although not a prerequisite
• Experience with software build systems, version control (Git, GitHub), and issue trackers (JIRA). Experience in the agile workflow is a plus
• Ability to write clear and understandable technical documents
• Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls, and project management teams
• Ability to investigate and explain large IT platforms with little documentation, and to replicate them at the prototype level
• May lead and guide Junior Analysts

Open personality and effective communication skills, ability and flexibility to work in an international team