Business/Data Analyst - FRTB/Market Data/Market Risk Business/Data Analyst - FRTB/Market Data/Market  …

Caspian One
in Toronto, ON, Canada
Contract, Full time
Last application, 21 Aug 19
Up to $90p/h DOE
Caspian One
in Toronto, ON, Canada
Contract, Full time
Last application, 21 Aug 19
Up to $90p/h DOE
My client are looking for a Business Analysts who has worked with Market Data specifically for Market Risk to join my clients FRTB project.

FRTB project is the new regulatory framework, that will be used by banks globally to calculate capital charge required as a buffer against market risk exposure in their trading books. As part of that initiative, my client are exploring few strategic data vendor solutions, like Golden Source and Asset Control.

 

We would like to bring in a business/data analyst to help us on-board the new system effectively. The scope of the system will be security master, market data master, risk factor master and FRTB-specific components:

 

  1. Security master – a system used to store, validate, maintain and publish static security information like: date of issuance, maturity date, credit rating …
  2. Market data master – a system used to store, validate, maintain and publish market rates and prices, as well as create shocks of those prices … we’ll need to store those market data time series to Nov 1st, 2006
  3. Risk factor master – a system used to store, validate, maintain and publish risk factors, like zero rates and implied volatilities, as well as create shocks based on those risk factors… we’ll need to store those risk factor time series to Nov 1st, 2006
  4. FRTB component – a system used to store, validate, maintain and publish real transactions and committed quotes (RPOs), and map the logic from RPOs to risk factors, as well as apply the counting logic for the liquidity test at a risk factor level (risk factor eligibility test – RFET)


Requirements:

I'm interested in spekaing to someone who can lead the system design decisions. An ideal candidate is a person who can understand, define and evaluate different implementation options, both from system and data perspectives. Also, the candidate would need to be capable of interacting with senior stakeholders, establishing the framework and leading the implementation team.

The main project themes are data lineage, transparency, scalability, data quality and timeliness.

 

Essential Skills

  • 5+ years Business Analysis experience
  • Strong Market Risk knowledge
  • Market Data experience
  • Solid Data background – Data Management, Modelling, understand how to move data between multiple systems
  • SQL skills

 

Nice to have skills

  • Golden Source/Asset Control
  • FRTB experience

Candidates must be eligible to work in Canada

Close
Loading...