Market Data Analyst - Risk - Basel

- Perform daily market data update process, clearing Exceptions, altering Rules and source mappings as necessary

- Identify areas of weakness in processes/systems and ensure that these are captured in the change management system

- Liaise with Market Data Analysis IT and Risk Systems to specify and test system improvements

- Analyse quality and suitability of existing source data, mappings, Instrument Type categorizations and associated Rules (including benching decisions)

- Undertake projects to incorporate bulk new Instruments or Instrument Types, including analyzing the quality and availability of new data

- Liaise with source data providers (e.g. MDS, Front Office Analysts) as necessary to ensure continued provision of quality data, and arrange support for new market data

- Liaise with London counterparts to identify work items and analysis work required

- Perform analysis using the VaR engine (MaRS) to quantify impacts of versioned updates to the market data set and project releases

- Understand different VaR models and extreme move calculations to analyse the impact of updates to market dataset.

Expected background

Qualifications

- Masters degree in the field of mathematics or finance / accounting or engineering

- Should have certification courses like FRM / PRM.

Experience

- Experience in the field of Basel 2, Credit / Market risk. ( in the banking sector.)

- Understanding of different asset classes, risk classes and risk types and market data set.

- Experience on working with external data providers such as Bloomberg / Reuters / Markit.

- Conceptual understanding of different VaR models and impact on VaR due to market moves.

- Experience in preparation of regulatory reports.

Contact at suparna@ikyaglobal.com