Nomura - Analyst - Risk Management - Historical Market Data

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.