Global Risk - Market Data Analyst

Business Unit Overview:

The Historical Market Data (HMD) Group is a significant part of global HMD within the Risk
Methodology Group. HMD is responsible for the maintenance of the historical market data used in the
strategic risk systems -- both market risk and credit risk. The team is responsible for all operational
activities related to maintaining historical data for different categories of time series as well as the
mapping to the various risk sensitivities. The team coordinates with risk managers and middle-office
teams globally as well as the wider risk methodology group. Further, the group is also leading multiple
efficiency and control initiatives by way of automation, process improvements and driving IT
enhancements.

Role & Responsibilities:

 Diligently source and maintain historical market data for VaR / Stressed-VaR / expected
shortfall and other risk models

 Update VaR window and analyze change in VaR due to market data changes

 Review optimal window for Stressed-VaR and analyze impact of change in optimal window

 Provide impact analyses around changes in time series data including review of various input
parameters

 Set criteria and identify appropriate proxy for time series data

 Build expertise around market data for one / more asset classes (Equity, Rates, Credit, FX,
Commodities, Securitized Products. etc.) to undertake ad hoc analyses

 Connect and coordinate with risk managers and market risk middle office across all regions to
support ad hoc requirements

 Help achieve operational efficiencies through process re-engineering and automation

Mind Set:

Mandatory Desired
 Good knowledge of risk  Excellent verbal and written
management including a fair communication skills, excellent
understanding of financial derivatives organization skills
and risk sensitivities (Greeks)
 Exposure to Bloomberg terminal and
 Python, SQL / Oracle database other market data products will be
Domain
query writing helpful.

 Experience of managing historical  Exposure to data science /machine

market data is preferred. learning is desirable.

 Proficiency with programming

 languages – for instance, VBA /
MATLAB / R -- is a big plus.
Core Competencies (Soft Skills):
Competencies
Culture & Conduct
Building Nomura’s Culture Diversity & Inclusion
Professional Integrity Self-Awareness
Client-Centricity & Business Acumen
Commerciality Client-Centricity Analytical
Thinking & Problem Solving
Strategy & Innovation
Strategic Thinking & Change Decision Making &
Judgement Agility
Leadership & Collaboration
Managing Talent Recognising and Motivating
Supporting, Developing & Collaborating with
others Managing Conflict
Communication & Connectivity
Articulation & Receptiveness Impact Connectivity
Communication & Influence
Articulation and Receptiveness Impact
Connectivity
Execution & Delivery
Driving Performance Execution-Focus Planning &
Organising Adaptability
Behavioral Indicators
Contributes to desired culture
Sets positive example
Aware of different values/styles
Holds high standards of behaviour
Aware of own strengths/weaknesses
Understands current market
Anticipates client needs
Pays attention to detail
Sees problems, recommends solutions
Balances alternative views
Knows when to decide/when to escalate
Champions new ideas
Is both disciplined and entrepreneurial
Sees when to escalate
Thinks differently
Balances alternative views
Knows when/how to compromise
Learns from experience
Seeks to develop
Assists in recruiting
Gives credit
Builds productive working relationships
Provides constructive, timely and specific
feedback
Adjusts style to suit topic
Balances listening/talking
Communicates with clarity and consideration
Is a proven and credible resource
Questions to understand others’ views
Builds internal contact network
Willingly effectively works across teams
Demonstrates accountability/commitment
Takes on challenging assignments
Executes priority actions on-time
Keeps stakeholders updated
Manages expectations
Persists when confronted with resistance
FORWARD CONTRACTS
It is an agreement to buy or sell an asset at a certain future time for a certain price.
A forward contract is traded in the over-the-counter market—usually between two financial institutions
or between a financial institution and one of its clients.

FUTURES CONTRACTS

A futures contract is an agreement between two parties to buy or sell an asset at a certain time in the
future for a certain price. Futures contracts are normally traded on an exchange.

OPTIONS

An option gives the holder the right to buy/sell the underlying asset by a certain date for a certain
price.
A call option gives the holder the right to buy the underlying asset by a certain date for a certain price.
A put option gives the holder the right to sell the underlying asset by a certain date for a certain price.
Options are traded both on exchanges and in the over-the-counter market.