Portfolio Risk Manager- Market Risk recruitment
You will be responsible for develoing a coherentframework to model, measure and monitor portfolio-level risk within the bank, you will propose systematic ways to reduce down-side risk in the aggregate bank level, analyze top-levle VAR for underlying drivers and hidden risk. You will develop methodologies for stress-testing,measuring inter-asset class dependence and diversification effect in the bank's portfolio of businesses.
You will have MSc/PhD in a numerate subject, advanced Excel/VBA and statistical software (R/SAS/Matlab) skills, strong understanding of modeling and underlying assumptions of VAR, experience with various asset classes and derivatives, experience with scenario analysis, etc.
For further information, please contact Ivana Nestorova on 02070923292 or ivana.nestorova@eamesconsulting.com