Historical Market Data Associate - Investment Bank

3 - 6 Years

Mumbai

Posted 1 year ago

#VaR #Risk Management #Market Risk #Machine Learning #Analytics #Data Analytics #Data Management #Consulting - BFSI

Business Overview:

The Historical Market Data (HMD) Group in Powai is a significant part of global HMD within the Risk

Methodology Group of the bank. HMD is responsible for the maintenance of the historical market data used in the strategic risk systems - both market risk and credit risk. The team is responsible for all operational activities related to maintaining historical data for different categories of time series as well as the mapping to the various risk sensitivities. The team coordinates with risk managers and middle office teams globally as well as the wider risk methodology group. HMD Powai is involved in several global strategic projects including requirements arising out of BCBS 239 (Risk Data Aggregation) and BCBS 265 (Fundamental Review of the Trading Book). Further, the group is also leading multiple efficiency and control initiatives by way of automation, process improvements and driving IT enhancements.

Position Specifications :

Division: Global Risk

Function: HMD Group

Corporate Title: Associate

Location: Powai, Mumbai

Desired Experience

- 3 to 6 years in a market risk management role.

- Qualification: Degree in Risk Management / Data Science / Finance / Engineering / Computer Applications / Economics / Statistics or other related fields. FRM will be a plus.

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 efficiencies through process re-engineering and automation

Key Skills :

- Good knowledge of risk management including a fair understanding of financial derivatives and risk sensitivities (Greeks)

- Python, SQL / Oracle database query writing

- Experience of managing historical market data is preferred.

- Exposure to Bloomberg terminal and other market data products will be helpful.

- Proficiency with programming languages - for instance, VBA / MATLAB / R - is a big plus.

- Exposure to data science /machine learning is desirable.