Roles and Responsibilities :
- Diligently source and maintain historical market data for VaR / Stressed-VaR / expected shortfall and other risk models
- Update VaR window and analyze change in VaR due to market data changes
- Review optimal window for Stressed-VaR and analyze impact of change in optimal window
- Provide impact analyses around changes in time series data including review of various input parameters
- Set criteria and identify appropriate proxy for time series data
- Build expertise around market data for one / more asset classes (Equity, Rates, Credit, FX, Commodities, Securitized Products. etc.) to undertake ad hoc analyses
- Connect and coordinate with risk managers and market risk middle office across all regions to support ad hoc requirements
- Help achieve operational efficiency through process re-engineering and automation
Key Skills :
- Good knowledge of risk management including a fair understanding of financial derivatives and risk sensitivities (Greeks)
- SQL / Oracle database query writing.
- Experience of managing historical market data is preferred.
- Exposure to Bloomberg / Thomson Reuters terminal will be helpful.
- Proficiency with one/more programming language - for instance, VBA / MATLAB / R is a big plus.
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