The Robert Toigo Foundation

Senior Quantitative Analyst, Traded Risk Methodology. : 00009Y93

November 3, 2017
Job Type



HSBC Americas is engaged in business in credit derivatives, emerging market and emerging market derivatives, mortgage, BSM, equity derivatives, fixed-income and interest rate derivatives, FX, and commodities etc.  Extensive risk models have been developed and well-documented to support these business activities. With Regulatory Stress Tests (CCAR, DFAST, PRA Stress) and FRTB, methodology development and implementation, trading activities/strategies and risk management are more than ever driven by risk weighted return in the form of capital requirements, or risk weighted assets. At the meantime, risk engines are constantly being enhanced/consolidated to accommodate new regulations and anticipated changes. The mandate Risk Quantitative Analyst is to join the Global Risk Analytics team to research, develop and enhance traded risk methodologies, provide methodology support to regulatory stress test, businesses, traded risk management and control functions, interacting with regulatory agencies, and maintain and update the traded risk methodology documentation.

Job Description:

  • Research and Development. Work with the team to: Develop advanced risk methodologies including sophisticated quantitative methodologies to measure counterparty credit and market risk exposures, leading the effort of IMM counterparty credit risk application, and to enhance Value-at-Risk model, etc. Research and develop new risk methodologies to satisfy requirements of BASEL 3, OCC, FRB, PRA, and other regulatory frameworks (such as regulatory stress test, alternative credit assessment to the external ratings issued by nationally recognized statistical rating organizations, liquidity risk assessment, etc.). Develop model validation methodologies for new risk models and for on-going model validation. Develop methodologies that help business to assess RWA impact of new products and trading strategies to achieve efficient risk weighted capital return. Fully understand and implement regulatory capital charge formula for counterparty credit risk. Research and develop methodology to address regulatory concerns and toward audit points removal. Develop methodologies to enhance the calculation efficiencies for large-volume trading while retaining reasonable accuracies – theoretical as well as practical. Prototype and coordinate the methodology and enhancement implementation with IT team.
  • Counterparty credit risk exposure for capital, limit and CVA calculation. According to regulatory standards to identify weaknesses and propose enhancements to satisfy all regulatory requirements and regulatory stress test (CCAR/DFAST etc.).
  • Ad hoc Quantitative Analysis. Perform ad-hoc analysis in various aspects of risk measurements, stress tests, what-if analysis on the existing portfolios and during new product/transaction approval; and on demand quantitative support for businesses, and traded risk management and control functions.
  • Documentation. Review, validate and document risk methodologies across asset classes.


  • In depth knowledge on products and transactions in the above asset classes with solid understanding to their credit and market risk exposures and advanced quantitative methodologies to model and measure these risks.  Strong working experience in quantitative financial methodologies (derivatives theory and models, probability theory, Mathematics, etc.) is required.
  • Expertise in risk modeling most of the assets classes above. Demonstrated ability and track experiences to lead complex team efforts and to adapt new products/businesses. Additional expertise and experience in modeling credit derivatives and other hybrid products, and exposure on Regulatory Stress test, CVA, Counteryparty VaR and market risk VaR methodology and regulatory capital calculation are highly preferred.
  • Excellent verbal and written skills.  Must be able to explain and articulate complex quantitative and/or technical matters clearly, accurately and simply. Need daily interaction with business heads, traders, quants, model review members, market risk and credit risk managers, and IT developers.
  • Organized, detail-oriented and self-motivated. Ability to leading a team, and/or work independently, adhere to tight deadlines and develop and maintain healthy relationships with all clients.
  • Solid technical skills are required, such as risk system/model implementation in C/C++, VBA, or Java programming languages.  Knowledge on QuIC, Calypso, Summit, Matlab, etc. are plus.
  • Advanced degree in a quantitative or computational field (Computer Science, Math, Physics, Financial Engineering) is required.


As you complete your online application, please use source code: Toigo. If you would like to notify HSBC’s Diversity Recruiting team of your application, please e-mail

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