Associate/AVP - Market Data/Time Series - BFSI

Role Description: Time-series/Market Data - AVP / Associate

Key Responsibilities:

The specific role comprises the following responsibilities:

- Applying experience and subject matter expertise to perform RTB tasks such as VaR/SVaR impact analysis for both Monte-carlo and Hist Sim methodology, continuous improvement of processes and coordination of changes in market data

- Take part actively in weekly Scenario Set generation for VaR/SVaR/Economic capital calculation and ensure Scenario sets are released within the cut-off time

- Analyzing the impacts of time-series changes on group level VaR/SVaR and ability to communicate/coordinate effectively to wider audiences.

- Liaising with Market risk managers, FO quant, Change teams and Methodology to perform deep dives on data challenges in new market risk models/methodology changes/RNIV and implementation of new regulations such as FRTB and IHC examination

- Actively take apart in proxy decision making and come up with appropriate proxy choices for a time-series.

- Perform Stressed-period-selection and analyze results for accuracy and reliability

- Actively represent in Asset class specific working groups with Risk Managers and Methodology team and bring solution of different time-series related issues to the table

- Help specify requirements and test functionality for new feed set up, processes and ability to coordinate with Risk-IT for seamless implementation of new data requirements and process enhancements

Requirements

- A strong and relevant background working in an international Bank or comparable experience

- Thorough product knowledge of derivatives, understanding of product bookings, pricing in at least one asset class - Equity, Credit, Rates, FX, Commodities.

- Market risk, Middle office, Valuations or Product control background with relevant subject matter expertise in one of the three disciplines

- MFE/MBA in Finance or relevant experience with Engineering, finance or quantitative/statistics background

- Good understanding of statistical distributions

- Excellent Communication skills and attention to detail

- Strong analytical, problem solving and critical thinking skills

- Advanced Excel and VBA skills

- A track record of working in a CTB (Projects) and RTB (Production) environment simultaneously

- Knowledge of languages such as R, Python, SQL preferred

- Certification such as FRM or CFA or CQF is preferred