VAR Market Data – Team Lead recruitment

The Company
Our Client, a leading European Bank, is one of the largest banking and financial services institutions in the world with presence in more than 80 countries. They provide a comprehensive range of financial services: personal financial services; commercial banking; corporate, investment banking and markets; private banking; and other activities.

The Role
The Risk team is responsible for the measurement, monitoring, reporting and analysis of risks run by the banks trading businesses. The banks Risk Market Data Team are responsible for the sourcing, collection, verification and maintenance of the market data required for the regulatory risk calculation in both the market risk systems and credit risk systems.

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.

It is a regulatory requirement that the market data that is used for regulatory reporting purposes is to be reviewed regularly. The review of the data quality is known as VAR Model Testing and will be another key responsibility of this role. The review will involve a critical assessment of whether the data being used for any given instrument is an accurate representation of the market and what alternatives there are. The impact on VAR from new time series, changes to time series and changes to time series proxies also has to be monitored and issues flagged for escalation. The role will involve a high degree of autonomy in identifying issues in the market data, challenging the existing processes and suggesting improvements.

Your Profile
The idea candidate will demonstrate a detailed knowledge of at least two different asset classes (Fixed income, Equities, Commodities, FX or Credit), will have had experience of working in an Investment bank or Asset management firm with 3 to 4 years of experience. Preferably in a Market Risk role. You will have a understanding of VaR and can demonstrate an understanding of the different VaR methodologies.

Excellent analytical and problem solving skills, and especially have a good understanding of statistics. You will also be strong in Microsoft EXCEL skills; ideally with the ability to write own advanced VBA code. Relational Database experience, with the ability to write SQL code advantageous and experienced user of Bloomberg and Reuters and their tools for interrogating time series.

Apply Today
Please send your resume, in WORD format and quote reference number JP8123, by clicking the apply button. Please note that only short-listed candidates will be contacted.