Risk Analyst, Portfolio Risk Management recruitment
Role Overview
This role is offered as a 23 month short term contract.
Portfolio Risk Management Group ("PRMG") is, within the Risk Management Department, responsible for the Bank-wide identification, measurement, monitoring and mitigation of quantitative market and credit risks.
It has recently concluded, with the help of external consultants, the design and implementation of a new risk engine as part of a major "Risk Management Systems Project", with the integration of market and credit risk modelling one of the main features of the project.
Within PRM, the Market Model Risk team is primarily in charge of measuring and monitoring the Bank's exposure to market risk. The team also validates or develops pricing models for the capital markets instruments traded by the Bank.
Market Model Risk team works in close co-operation with other Risk Management teams, the Treasury and Banking. It interacts frequently with the Middle Office, as well as with Controller's Department.
The products handled encompass the whole range of interest rate, foreign exchange, credit and equity instruments available in the financial markets, with a strong bias towards either equity or debt instruments of limited liquidity.
Key Responsibilities and Deliverables
The role covers two important areas of responsibility of group Market and Model Risk. Firstly, the monitoring of market risk in the Bank with the ongoing enhancement of the methodologies and, secondly, the data capture and modelling of complex transactions for portfolio risk calculations. The responsibilities are as follows :
- Market risk reporting:
- report and analyse the market risk in Treasury and Banking
· Data preparation and complex product modeling within the Economic capital engine:
- update and check key inputs (e.g. historical data) of the risk engine for the Treasury and Banking portfolios
- review the estimation of equity-model parameters related to the portfolio risk calculations
- extracting relevant product information of complex banking transactions for their modelling in the risk engine
· Participate in the team projects aiming at quantifying the risks of exotic derivatives in terms of model risk and credit exposure.
Essential Skills, Experience Qualifications
- MSc degree in mathematics/physics/engineering or financial mathematics
- 1 to 2 years experience in a quantitative risk role
- A good knowledge of capital markets instruments (with some bias towards interest rate derivatives pricing) and risk management methodologies (Greeks, risk measures) will be required
- Strong analytical skills including stochastic processes, Monte-Carlo methods and numerical methods for partial differential equations
- Very good programming skills including Excel/VBA and/or C++, and database interrogation tools (e.g. SQL). Knowledge of Matlab would be a plus.
Competencies Personal Attributes
- Plans work well, responds in a timely manner, and meets deadlines
- Ability to communicate in clear, direct and simple terms
· Attracted to the multi-cultural environment of EBRD as well as to the mission of the Bank with its challenges and opportunities.
· Good overall analytical skills including numerical methods and techniques.
· Deals effectively with internal clients. Understands their needs and aims, gains their respect and co-operation.
· Drive for excellence. Seeks to attain the highest possible quality in his or her own work and the teams output.
· Ability to operate sensitively in multicultural environments and build effective working relations with clients and colleagues.