Vice President, Pension Risk / Interest Rate Risk In Banking Book

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Vice President (VP), Pension Risk & IRRBB is a member of Treasury Risk Management Team providing second line of defence oversight for HSBC’s Pension Risk and Interest Rate Risk in Banking Book activities. It is led by Americas Head of Liquidity, IRRBB, Markets Treasury and Pension Risk comprises of the following key activities, including relevant Policies, procedures and Frameworks, Risk Appetite & Tolerance and Limits monitoring and recalibration, review and challenge IRRBB management processes, and the escalation to senior management and the Board any major IRRBB/Pension Risk related issues.  

Treasury Risk Management provides independent challenge to the bank’s IRRBB model assumptions and scenario design, perform independent analysis on the model outputs and assess the bank’s Interest Rate Risk exposures and management to make sure they meet HSBC and regulatory requirements, expectations and identify issues for the model owners for remediation as need.

Here’s what you can expect:

The role purpose is to enhance the second line of defence stewardship and oversight of the Pension Risk and IRRBB management of HSBC U.S. activities. 

This role requires a deep understanding of best practice and regulatory expectations of a firm’s IRRBB and Pension risk management practices and framework. As well as experience and thorough understanding of asset liability management  

In this role, you will:

• Developing and maintaining a clear and sustainable framework (methodologies, tools, policy and procedures) to identify, monitor and control structural Interest Rate Risk and Pension Risk of the bank.

• Performing quantitative and analytical analysis to identify to the key stakeholders where the IRRBB/Pension risk exposures are approach possible limits.

• Developing tools for measuring and analyzing the structural Interest Rate Risk including the Equity Value of Equity (EVE) and Earnings at Risk (EaR).

• Reviewing and challenging models used in managing structural Interest Rate Risk and Pension Risk.

• Deep understanding on deposit behaviouralization and mortgage prepayment modeling.

• Participating in IRRBB & Pension risk management committees to communicate/escalate issues to inform risk identifications and influence decision makings.

• Managing yield curve risk, basis risk, and optionality risk through challenging business assumptions according to analysis results.

• Building strong relationships with business, finance, risk analytics, model validation, Pension Risk key stakeholders and IT

• Performing ad-hoc analysis in various aspects of IRRBB & Pension risk measurements, stress tests, what-if analysis on the existing portfolios and new product/transaction reviews

• Providing timely and independent reporting to management, risk management committees and regulators.

• Analyzing the potential impact of new IRRBB & Pension regulations on the management of the portfolios. Assist in the preparation of recommendations.

• Providing attribution analysis to Banking Book MtM changes

• Providing assistance to evaluate the risks of fixed income investment portfolios managed in the U.S. including Treasuries, Agency MBS.

• Participating in global initiatives and projects on IRRBB methodology research and enhancement.

• Engage with key stakeholders on the global IRRBB and Pension Risk initiatives to ensure consistency for local implementation.

For this role, HSBC targets a fixed pay range between $136,300.00 and $204,400.00.

The final fixed pay offer will depend on the candidate and a number of variables, including but not limited to, role responsibilities, skill set, depth of experience and education, licensing/certification requirements, internal relativity, and specific work location.

At HSBC, our overall goal is to provide a competitive Total Reward Package, with an appropriate mix of fixed pay, and variable pay, as part of an employee’s overall total compensation and benefits. Variable pay generally takes the form of discretionary, annual awards (sometimes referred to as a “bonus”). Additionally, HSBC offers a wide range of competitive and flexible benefits designed to help you improve your health and well-being, finances, and lifestyle.

In compliance with applicable laws, HSBC is committed to employing only those who are authorized to work in the US. Applicants must be legally authorized to work in the U.S. as HSBC will not engage in immigration sponsorship for this position.

You’ll likely have the following qualifications to succeed in this role:

• Minimum of 10 years proven, progressive and broad-based experience in related areas.

• Bachler’s degree in mathematics, economic, statistics, computer science, finance with exposure to quantitative analysis and fixed income products.

• Deep understanding of structural interest rate risk in the banking book (IRRBB), including Economic Value of Equity (EVE), Net Interest Income (NII) Projection and Earning at Risk (EaR).

• Deep understanding on bank balance sheet structure and products, including deposits, mortgages, loans, bonds (Treasury, MBS), trading securities, equity, etc.

• Experience with behaviouralization modeling, including deposit attrition and mortgage prepayment modeling.

• Familiar with the US pension risk regulatory requirements, experience in pension risk coverage is a plus.

• Experience with stress testing.

• Strong quantitative skills. Solid understanding of Excel modeling as well as experience with IRRBB risk management tools 

• Ability to work independently and under pressure.

• Strong analytical, interpersonal, presentation, problem-solving, lateral thinking, planning, organization, effective written and verbal communication skills.

• Experience working with MS Excel, MS Word, PowerPoint and programming languages like VBA.

• Ability to discuss process and technical issues with business units, IT and other support functions.

• Ability to demonstrate process ownership or project initiatives.

• Ability to professionally and effectively present information and respond to questions from all levels of management.

As an HSBC employee, you will have access to tailored professional development opportunities to ensure you have the right skills for today and tomorrow. We offer a competitive pay and benefits package including a robust Wellness Hub, all in a welcoming, diverse and inclusive work environment.  You will be empowered to drive HSBC’s engagement with the communities we serve through an industry-leading volunteerism policy, a generous matching gift program, and a comprehensive program of immersive Sustainability and Climate Change Initiatives. You’ll want to join our Employee Resource Groups as they play a central part in life at HSBC, including the development of our employees and networking inside and outside of HSBC.  We value difference. We succeed together. We take responsibility. We get it done. And we want you to help us build the bank of the future!

All qualified applicants will receive consideration for employment without regard to age, ancestry, color, race, national origin, ethnicity, disability or medical condition, genetic information, military or veteran service, religion, creed, sex, gender, pregnancy, childbirth, caregiver status, marital status, citizenship or immigration status, sexual orientation, gender identity or expression or any other trait protected by applicable law.