Division Summary
We are looking for an experienced Time Series Analyst to join our Risk & Finance Technology team, based at our London office. The role falls within the Risk Management Executive Office, reporting to a Risk Infrastructure Senior Manager.
Our primary clients are the Risk Management teams (Market and Credit Risk). The systems are also used by Product Control, Global Markets and other teams within the bank.
Risk Infrastructure is a new and growing area with many upcoming changes resulting from development of a new target operating model for the risk department.
Job Purpose
Working within the Risk Infrastructure team focusing on development of the time series information used in the reports used by Risk Managers in their management of the banks risk. 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.
The time series team are responsible 'run the bank' (RtB) and activities regarding the integrity of this data. Increasingly we will be looking for this team to work closely with the risk managers to make recommendations for improving the time series to ensure that the VaR calculations are representative of the risk. This includes applying proxy time series where data is not available.
The time series team will also be required to focus time on 'change the bank' (CtB) activities for time series. For example, when new products are traded there is a need to source a history of time series going back many years which may be delivered as a "mini project". In addition, there may be changes in front office platforms where the time series team will be involved in gathering requirements, helping to deliver functional documentation and working closely with developers during the implementation and testing phases. This will involve working closely with Risk Managers, Risk Methodology and the Integration teams.
The Time Series Team will be involved in a number of CtB projects and RtB initiatives that are key to the strategic initiatives of the bank.
Key Responsibilities
Key responsibilities will include:
- Daily update of time series used in Value at Risk (VaR) to ensure prices are captured into the systems on a timely basis
- Maintenance of configuration data on the time series platform to ensure time series history is fully maintained, including data such as stress test shocks
- Development and Maintenance of data quality metrics to ensure the integrity of data within the systems
- Maintenance of prxies 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.
- Assisting the Senior Manager in the specification of future functionality and system requirements.
- Acting as a point of interface between Risk Managers, Risk Methodology and IT.
Key tasks will include:
- Daily maintenance of time series data, data quality metrics and proxies
- Assisting with the writing business and functional specifications.
- Working closely with Risk Methodology & Risk Managers to ensure requirements and priorities are clearly understood.
- Ensuring issues and conflicts are identified, raised and resolved.
- Identifying and designing process changes and data flows to support time series system development.
- Providing active response to time series queries and issues.
Experience required to successfully perform the role:
- 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 MS Office, XML and SQL skills.
- Strong documentation skills
Preferred Qualifications and Experience
- A degree or equivalent
- Experience of working in a regulated environment, ideally 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