Team Lead – Market Risk Data group, Singapore APAC recruitment

This role involves the supervision of the Business As Usual (BAU) tasks of the Market Data team, which include the gathering and validation of market data time series, resolving issues regarding data quality and use of proxies, and managing the team on a day to day basis. The position reports to the Head of Market Risk Market Data.

Role:

• Manage the BAU processes of the Market Data team, escalating issues where appropriate

• Carry out routine model checks as agreed as part of Model Testing programme

• Perform periodic model reviews in liaison with Market Risk Managers and produce high quality model review reports

• Identify technically robust approaches to assessing the overall VAR modelling approach including strategies to minimise risks not in VAR (RNIVs)

• Manage the delivery of Market Data projects in liaison with the local Head of Market Risk

• Build relationships with market data vendors, seek alternatives to existing data series where improvements can be made and report recommendations to Risk Managers

• Undertake additional statistical analysis of time series as required

Ideal Candidate:

• Can demonstrate a detailed knowledge of at least two different asset classes (Fixed income, Equities, Commodities, FX or Credit) and some knowledge of derivatives

• Has experience of managing a team, preferably within a risk or finance function

• Understanding of VAR and can demonstrate an understanding of the different VAR methodologies.

• Some knowledge of the regulatory environment, particularly FSA , EU/CRD and Basel/BIS

• Excellent analytical and problem solving skills, and especially has a good understanding of statistics.

• Strong Microsoft EXCEL skills; ideally with the ability to write own advanced VBA code.

• Experienced user of Bloomberg and Reuters and their tools for interrogating time series.

• Some familiarity with interest rate/yield curve and volatility models

• Time series analysis e.g. statistical arbitrage research

Please send all enquiries to Singapore@selbyjennings.com

Keywords: Risk, Market Risk, Time Series, Data, Yield Curve, Var, Modelling, model, testing