Senior Market Risk Model Development

Location - Hybrid (3 days in London)
Rate - up to circa £1050/day Umbrella
Contract Length - Initially until end of Feb 2027

Senior role responsible for the development and analysis of Market Risk (MR) models. The role supports accurate risk measurement under FRTB IMA and related internal/regulatory requirements, and provides subject matter expertise across pricing and risk computations.

Key Responsibilities

• Develop and re-design MR models (especially for Equity and FX) to support accurate measurement of FRTB IMA and other required risk measures, in line with internal governance and regulatory expectations.
• Interpret regulatory and business requirements and propose modelling approaches that are fit-for-purpose, well-controlled, and defensible under internal and regulatory scrutiny.
• Partner with Risk Transformation and Financial Engineering teams end-to-end: define modelling objectives, develop and test models in Python, produce model documentation, and support ongoing model assessment and validation.
• Act as an SME in pricing and risk computations for Equity and FX products; liaise effectively with Front Office Traders, Quants, Traded Risk, and technology teams.
• Build Python tools to test proposed models, perform required analysis, and quantify the impacts of model changes.
• Deliver new models to tight timeframes, managing a potentially changing set of regulatory requirements.
• Maintain strong understanding of market risk measurement changes and translate these into impacts on asset class data classifications and risk reporting.
• Develop market risk measurement methods using available (often limited) datasets and demonstrate adequacy, subject to appropriate model validation.
• Maintain a strong focus on input data quality (securing, monitoring, and improving data controls).
• Apply FRTB/Market Risk regulations carefully when implementing model prototypes.
• Build a clear understanding of the Traded Risk IT infrastructure, with the capacity to replicate it at prototype level; develop knowledge of HSBC’s traded risk systems globally and locally.
• Produce highly readable, reusable code to tight deadlines, conforming to team software development standards.
• Work autonomously and manage senior stakeholders across business, Traded Risk, and IT; collaborate across regions and functions.