Market risk & Time series BA

About CRISIL GR&A: CRISIL Global Research & Analytics (GR&A) is the largest and top-ranked provider of high end research and analytics services to the world's leading commercial and investment banks, insurance companies, corporations, consulting firms, private equity firms and asset management firms. CRISIL GR&A operates from centres in Argentina, China, India and Poland, providing support across several time zones and in multiple languages to global organizations. It has deep expertise in the areas of equity and fixed income research (covering global economies, 150 global sectors and over 3000 global companies), credit analysis, exotic derivatives valuation, structured finance, risk modelling and management, actuarial analysis and business intelligence.

Job Duties-

We are looking for a talented and experienced Business Analyst with sound knowledge and experience in the market risk domain for one of our global Investment Banking Clients.

• Support the implementation & testing of various risk change programs within the firm, times series checks & implementation including sanity check, validating, imputing
• Support in developing and optimizing data pipelines for risk calculations, trade analytics and regulatory reporting
• The role involves designing and implementing an effective data and controls framework for various Risk programs
• Work on cleansing historical time series, imputing-backfill missing values, implementing strategic controls for ensuring time series data quality
• Review & optimize the VaR back testing process, root cause findings of VBT exceptions
• Partner with technology, reconciliation unit, and data governance team, addressing exceptions and managing down applicable risk reduction metrics.
• Liaise with stakeholders (Department business team, IT, cross-department teams) involved in Data lineage work effort to manage multiple hands off and entailing stitching activities to build end-to-end data lineage
• Help risk manager to analyse & quantify the change impact, this may include digging through large data sets to understand the pattern/issue, replicating the calculation independently using banks pricing libraries, looking out for automations opportunities
• Design & develop reports for presenting to various project stakeholders on the testing done & gaps identified
• Ensuring the Quality Assurance standards for processes & systems changes are adhered.
• Create and maintain the project artefacts

Skills Required-

• 7 + years of relevant experience in Market Risk domain at Financial Institutions especially with historical simulations & times series aspect of times series would be highly desirable
• Knowledge & experience of working in both agile/waterfall environment ( JIRA, Confluence etc.)
• Experience of working on large risk change programmes with multiple work streams & multiple stakeholders
• Working knowledge of Python programming is required (not developer level skill set)
• Excellent communication and documentation skills to coordinate with business and technology stakeholders and team members
• Understanding of risk models like VaR, ES, Stress testing etc.
• Exposure to risk reporting, market data, risk systems, processes & methodology
• Good knowledge of latest developments in risk domain including regulatory updates like FRTB , IBOR
• Good knowledge of derivative products across asset classes including valuation & pricing