European Bank
for Reconstruction and Development
Principal Risk Manager, Analytics & Modelling, Risk Control
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.
Background for position
Within the Bank's Risk Management Department, headed by a member of the
Bank's Executive Committee, Risk Control takes care of the independent
measurement, monitoring and mitigation of the market, credit and operational
risks incurred from the Bank's Treasury activities (Treasury is one of the
Bank's two profit centres, responsible for the Bank's funding in the
international capital markets, the investment of its liquid assets and its
overall asset and liability management).
Risk Control interacts regularly with various business units within the
Bank, including Treasury, Accounting, Reporting & Financial Control, General
Counsel, Operations and Information Technology. In addition, the unit
maintains relationships with market counterparties, other international
financial institutions, professional organisations and regulatory bodies.
Risk Control is organised in three teams in charge of, respectively, Market
Risk, Credit Risk and Analytics & Modelling. The former two have a blend of
transaction analysis, monitoring, reporting and development
responsibilities, while Analytics & Modelling is primarily into development
work and in charge of supporting the other two teams.
Risk Control's mission notably includes the ongoing development of enhanced
risk measurement methodologies and the coding and maintenance of some of the
corresponding software applications. The products handled encompass the
whole range of interest rate, foreign exchange and credit instruments
available in the financial markets, with a strong bias towards sophisticated
instruments and over-the-counter derivatives, thereby involving non-trivial
work on pricing models. Data is downloaded from the Bank's central
repository of transaction and market data, for processing in risk management
applications mostly proprietarily developed.
Summary of Position
The core activities of Analytics & Modelling, include in general:
* Developing and regularly upgrading risk management methodologies,
analytical models and associated systems.
* Supporting existing internally developed systems.
* Contributing to the analysis of new products, trading or hedging
strategies, by formulating recommendations on pricing, risk measurement and
risk mitigation.
* Contributing to the setting-up of an integrated risk management
framework assessing market, credit and operational risks in a consistent
fashion.
Current projects focus in particular on:
* Rolling into production the Bank's proprietary credit exposure Monte
Carlo simulation-based system called CredEx.
* Expanding, providing user support for and maintaining CredEx,
including financial interpretation, mathematical modelling, pricing and
computer coding of transactions.
* Testing pricing models for exotic derivatives.
* Participating in developing CRIS, the Bank's proprietary credit risk
control system.
* Contributing to the ongoing enhancement of stress testing tools.
*
* Additional responsibilities are:
* Managing a team of two.
* Recruiting and coaching interns.
Qualifications and previous experience required
* Strong quantitative background, with in-depth knowledge of
stochastic processes, financial mathematics and analytical and numerical
methods, including Monte Carlo simulations. MSc or PhD, in the sciences.
* Experience, preferably five years and above, in the field of capital
markets, e.g. in risk management, asset and liability management, structured
finance, trading, quantitative research, or similar, and exposure to a wide
range of financial instruments; notably, familiarity with derivative
instruments, pricing theories and models.
* Demonstrated expertise in financial modelling and writing software
to implement analytical and numerical models. Substantial programming
experience in C, C++. Experience with Excel VBA, Matlab, Java, Pearl, HTML,
as well as commercial front-office systems like Summit, is desirable.
* Ability to work on long term projects, deliver results in an agreed
time frame and fully document developments.
* Self-motivated, adaptive and able to function in a small team, as
well as to lead projects independently.
* Enthusiasm and desire to expand knowledge of risk management with a
capital markets and derivative products environment.
To apply: Please submit your CV and a covering letter to the address below,
quoting reference: Fin&Phy897
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] <mailto:[log in to unmask]> or
[log in to unmask]
Website: www.ebrd.com
Sarah Ball
Recruitment, Personnel Department
EBRD
[log in to unmask]
Tel: 44 (020) 7338 6477/Fax: 44 (020) 7338 6097
www.ebrd.com
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