Historical Market Data Analyst - Investment Bank

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.