Responsibilities
- Responsible for Market Data requirements & analysis for Market Risk (VaR, ES) projects and risk regulatory initiatives like FRTB-IMA.
- Come-up with BRD, FSD and other documents like traceability matrix for Historical Market Data backfilling, proxying, historical scenarios (shocks) generation & establishing data mappings across various Risk Factors in Market Data domain
- Collaborate with business stakeholders Market Risk Business, technology team to help finalise requirements and deliver solution.
- Assist with completion of System Integration Testing (SIT), User Acceptance Testing (UAT), application performance testing.
- Prepare and manage technical implementation plan across application teams - coordinate technical implementation activities across application teams to ensure non-event production cutover and adequate post implementation support
- Responsible for Shell / Batch scripting.
Requirements
- Experience end to end technical knowledge and business analysis skills on all key market data modules like Data Sourcing from various market data vendors, Backfilling, Calibration & Historical Scenarios.
- Experience in Historical Market Data Domain to cater to Market Risk requirements for data sourcing from various market data vendors (like Bloomberg, Refinitiv, ICE, MarkIT), backfilling, calibration, proxy & historical scenarios generation for VaR & ES.
- Good Business Analysis experience in data sourcing from various market data vendors, backfilling, curve computation (calibration), proxy, stress scenarios & historical scenarios generation for Market Risk and Regulatory requirements
- Cater to various historical market data requirements for historical scenarios for Murex upgrade
- Extensive knowledge of various market data instruments such as equities, commodities, FX, IR curves, options, volatilities etc.
- Experience in any of EDM/MDM market data product like Neoxam, Asset Control, Golden Source, MarkIT etc.
- Minimum of 7 years of experience in analysing requirements and tracking delivery of IT capabilities
- Good problem solving, analytical, synthesis, system thinking and solutioning skills
- Experience in scripting/coding capabilities in either one or more of the following skills: Python, R, Windows batch/Unix shell scripting, java script, SQL, PL-SQL, vendor proprietary language etc.
Sumit Sambhi
EA License No. – 23C2060
EA Registration No. - R1330510
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