European Bank
for Reconstruction and Development

Risk Control - Analytics - 2 year fixed-term position
Associate Programme 2001 (start asap)


The European Bank for Reconstruction and Development has a unique challenge:
to assist the countries of central and eastern Europe and the CIS in their
transition to democracy and market economies. It offers a unique combination
of public and private sector banking expertise, and supports projects
through lending, taking equity positions and providing technical
co-operation. The Bank focuses particularly on the private sector and is
increasing its local presence in its countries of operations.

The EBRD's Associate Programme provides employment opportunities for
outstanding young graduates. This is an exciting and exceptional opportunity
for graduates to pursue a challenging and professional career and to
contribute appropriate country, language and academic knowledge to the
Bank's operations.

Who can apply?
Nationals of the following countries of are eligible for the Programme:
Albania, Armenia, Azerbaijan, Belarus, Bosnia and Herzegovina, Bulgaria,
Croatia, Czech Republic, Estonia, FYR Macedonia, Georgia, Hungary,
Kazakhstan, Kyrgyzstan, Latvia, Lithuania, Moldova, Poland, Romania, Russian
Federation, Slovak Republic, Slovenia, Tajikistan, Turkmenistan, Ukraine and
Uzbekistan.

This year the EBRD wishes to broaden the Programme to include candidates
from our significantly under-represented countries. These countries are;
Austria, Belgium, Finland, FR Yugoslavia, Germany, Iceland, Israel, Italy,
Japan, Korea, Liechtenstein, Luxembourg, Morocco, Norway, Portugal, Spain,
Sweden, Switzerland.

Summary of Position

Within the Bank' s Risk Management Department, Risk Control takes care of
the measurement, monitoring and mitigation of the market, credit and
operational risks incurred the Bank's Treasury activities. The Associate -
Risk Control, Analytics works on quantitative, analytical and computational
issues arising from stochastic modelling and simulations, derivatives
pricing, programming and systems developments.

Reporting to the Principal Risk Manager, Analytics & Modelling, Risk
Control, the Associate's core activities include in general:
*       Developing risk management systems and tools.
*       Supporting existing systems.
*       Testing pricing models for exotic derivatives.
Current projects focus in particular on:
*       Finalising, implementing and user acceptance testing of the Bank's
proprietary credit exposure, Monte Carlo simulation-based, system called
CredEx.
*       Expanding CredEx and provide user support in production. The
Associate shall be responsible primarily for the integrity, reliability and
stability of the CredEx system, in particular, its C++ code, file system,
and user front-end.
*       Participating in developing CRIS, the Bank's proprietary integrated
credit risk management system.


Detailed Tasks of the Associate
The most important tasks to be performed by the Associate shall include
finalising CredEx, its code, testing and documentation, and progressing to
production phase. The Associate shall also be in charge of expanding the
system, on a regular basis, by adding new types of pricing models when
required. This will include financial interpretation, mathematical modelling
and computer coding of the transactions and their pricing.

Further tasks will include day-to-day usage, maintenance and modification of
CredEx and customising to users' needs according to risk management policies
and requirements. Moreover, the Associate shall contribute to the testing of
internally developed pricing models for exotic derivative transactions, as
well as to the testing of Summit functions and models.

Qualifications and Previous Experience
*       MSc or PhD in Physics, Mathematics or Engineering.
*       2 to 3 years of hands-on programming experience in C++.
*       Experience with stochastic processes and interest rates modelling,
as well as analytical and numerical stochastic methods, including Monte
Carlo simulation.
*       Familiarity with derivative instruments, pricing theories and
models.
*       Experience with Excel VBA, Java, Pearl, HTML as well as systems like
Summit is desirable.
*       Capacity to work in a team, as well as to handle projects
independently.
*       Enthusiasm and desire to expand knowledge of risk management within
a capital markets and derivative products environment.

To apply:
Please submit your CV and a covering letter to the address below, quoting
reference number 4303
Sarah Ball, Personnel Department
European Bank for Reconstruction and Development
One Exchange Square
London EC2A 2JN
United Kingdom
Fax: +44 020 7 338 6097
E-mail: [log in to unmask] or [log in to unmask]
Website: www.ebrd.com
The closing date for receipt of applications is 16th March 2001.


Sarah Ball
Recruitment, Personnel Department
EBRD
[log in to unmask]
Tel: 44 (020)  7338 6477/Fax: 44 (020) 7338 6097
www.ebrd.com



> -----Original Message-----
> From: Ben Djerroud [SMTP:[log in to unmask]]
> Sent: 15 February 2001 20:35
> To:   [log in to unmask]
> Subject:      wavelet
>
> Hello there,
> I am looking for litterature (papers or reviews) on the application
> of wavelet, wavelet packet in finance. If you are aware of good references
> please let me know. thanks,Ben
>
>
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