Market Data/ Time Series Risk Analyst

Working with the Market Data Replacement project and the Reporting, Analysis & Validation team focusing on analysis, testing and successful transition of the time series information into the new platform.

The time series information is a critical component of the Value at Risk measure used to both manage the overall risk appetite of the bank as well as being used in the regulatory capital calculation under our model approval from the regulators. Therefore, a key part of this transition is understanding the impact of this time series information on existing processes and reports, in particular the changes on Value at Risk measures used for daily risk management purposes. This will require a deep understanding of the market data domain as well as how this data is used in Value at Risk calculations (specifically historical simulation).

Whilst a significant component of the project is the replacement of the IT platform there are methodology enhancements including a change in the methodology for curve stripping as well as changes to proxy and backfilling techniques. Candidates with strong knowledge on these topics would be preferred.

The bank already has a time series team who are responsible 'run the bank' (RtB) and activities regarding the integrity of market data. A key part of the role will be working alongside this team to transition the operating model over to the new platform without disruption to daily reporting and analysis tasks.

We are looking for an experienced Market Risk Analyst to join our Market Data Replacement Project working directly with the Reporting, Analysis and Validation team, based at our London office. The role falls within the Risk Management Executive Office, reporting to a Risk Infrastructure Director.

The Market Data Replacement project is the highest priority project for the Risk function involving the replacement of a vendor Market Data platform with an internally developed platform. The success of this project is critical for the integrity of the risk management information used by the Risk function on a daily basis.

The primary clients are the Risk Management teams (Market and Credit Risk). The system is also used by Product Control, Global Markets and other teams within the bank.

Risk Analysis & Reporting team who use this system on a daily basis is a new and growing area with many upcoming changes resulting from development of a new target operating model for the risk department.

• Working with the project team to understand the impact of data representation differences arising as a result of transitioning to the new platform (working over long periods of history back to 2007)
• Working with the project team to understand changes arising from changes to proxies in historical time series
• Analysis of changes arising from new curve stripping methodologies
• Working with the project team to understand the impact of time series changes on Value at Risk results
• Remediating and cleansing data in market risk data management systems
• Applying a structured and comprehensive approach to testing
• Working with the Reporting Analysis and Validation team to transition data quality metrics onto the new platform to ensure the integrity of data within the systems
• Working with the Reporting Analysis and Validation team to transition time series proxies to ensure that time series data used for VaR is representative of the risk being run
• Gathering requirements, delivering functional design documentation and working closely with Risk Managers, Risk Methodology and Integration during project implementation and testing phases.
• Supporting systems integration testing (SIT) and user acceptance testing (UAT) alongside the Risk Methodology and Integration teams.

• Understanding of time series systems and processes.
• Understanding time series data and impact that this data may have on VaR results
• Understanding of Global Markets businesses and products/services.
• Ability to demonstrate a background of structured analytical skills.
• Ability to work with clients to prioritise business requirements.
• Able to quickly identify issues and take ownership of the resolution of issues and completion of tasks.

Knowledge, technical skills and expertise

• Strong knowledge of Traded Products.
• Strong knowledge of Risk principles and methodologies.
• Strong knowledge of time series data.
• Strong knowledge of historical simulation VaR
• Understanding of curves stripping techniques for interest rate time series
• Strong MS Office, XML and SQL skills.
• Strong documentation skills

• A degree or equivalent
• Experience of working in a regulated environment in Financial Services
• Knowledge, technical skills and expertise:
• Business knowledge
• Understanding of FSA rules and regulations or equivalent
• Understanding of risk and control
• Banking knowledge
• Finance / budget management
• Knowledge of emerging markets
• IT skills

Personal attributes:

• Global mindset
• Resilience
• Client mindset
• Pays attention to detail
• Results-orientated
• High level of integrity

The role would suit someone who is:

• Able to navigate complexity
• Can work in ambiguity

• Competitive salary
• Luxoft Training Center
• Access to e-learning Library
• Individual development plans
• Long-term cooperation with possibility to gain experience in different projects and technologies
• A significant number of professional communities (Agile Community, Tech Community, Business Analysis Community, etc.)

• Group Life Insurance
• Private healthcare insurance – LuxMed. Unlimited access to specialist consultations with Dental Care included
• Medical costs reimbursement for employees (up to certain amount per quarter)
• Travel Insurance
• Benefit Program - Cafeteria and Multisport Card

• Various communities (sport, recreation activities, trips, board games, cultural and educational activities)
• Discounts program for employees – BeLux (banking offer, car leasing offer and cafeteria program discount)
• Convenient locations in a modern offices with game rooms
• Multinational projects for clients all over the world