Market Risk Quantitative Research: Time Series Management – Analyst/Associate

Responsibilities

• Analyzing Market Data used for Market Risk calculations such as VaR across several asset classes.
• Verifying the above market data to independent sources such as Bloomberg.
• Identifying spurious data and correcting these data points; liaising with Market Risk Coverage/MRQR product specialist for remedial action.
• Partnering with AD to provide requirements for a number of Market Data projects. Perform UAT testing for monthly technology releases.
• Provide recommendation for future best practice controls.
• Suggest and participate in continuous improvements to the process and infrastructure.
• Working with stakeholders such as Market Risk Coverage, MRQR product specialist & Technology teams to ensure the operational control of the process and troubleshooting technical issues.
• 
  Participate in Projects relating to Control issues / enhancements for Market Data Quality Improvement.
• Assist in the production of weekly scorecards distributed to several groups and senior management. In addition work on weekly / monthly enhancements to the various metric packs.
• Running Market data Quality reports, Quarterly Beta review and analyzing the time series for all positions for on boarding into VaR.
• Follow up on LOB Market Risk audit-related issues.
• Impact analysis on VaR/SVAR.
• Good understanding of financial derivatives including Greeks.

Qualifications

• Professional, self-motivated, and adaptable person who can work effectively under pressure.
• Attention to detail will be key in this role.

  Looking to get Placed? Try our Placement Guarantee Plan

  Get Hired
• Basic understanding of product knowledge across a range of asset classes – Credit, Rates, Equities, Commodities etc.
• Ability to work and solve problems independently, and be able to work in a deadline oriented environment working with large amounts of data.
• Ability to understand business processes and their risk implications, analyze complex situations, reach appropriate conclusions, and make value-added and practical recommendations.
• Excellent verbal and written communication skills, with the ability to create and present training materials. Excellent interpersonal skills; ability to develop effective credible relationships with the business and functional partners.
• Very proficient and experienced in Microsoft Excel, using advanced formulas; Pivot tables; data management and linking to external databases, etc.; ability to build macros and VBA desirable.
• Candidates will need to work in a dynamic development environment. Familiarity with Python and SQL is a plus.
• University graduate in Finance / Math or related discipline preferred.
• Prior experience of a Market Data analysis.
• Ability to perform analysis on large sets of data and analyze trends.
• Experience of using Bloomberg desirable.
• Preferred qualifications CFA/FRM.