European Bank
for Reconstruction and Development
Inernship, Treasury Risk Management
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(s)
Within the Bank' s Risk Management Department, Treasury Risk Management
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).
Treasury Risk Management 's mission 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.
Currently, Treasury Risk Management is working on the implementation of a
number of significant development projects, such as further refining market
risk measures, improving liquidity risk measurement, implementing enhanced
credit risk quantification tools (Monte Carlo simulation-based exposure and
potential loss calculations) and testing pricing models.
Interns work within Treasury Risk Management assisting, according to the
relevant position, the managers in charge of Market and Model Risk, Credit
Risk or Analytics & Systems. The interns participate to the daily monitoring
tasks of the team and are expected to contribute to one or more of the
development projects currently underway, either on the methodological front
or in the coding, implementation, testing and documentation of software.
Duration of mission: 4 to 6 months.
Position currently being offered: Market and Model Risk position
* Assist in the daily risk reporting tasks and in their further
automation.
* Contribute to the development and maintenance of the current market
risk reporting framework.
* Assist in either the internal development of a liquidity-at-risk
methodology and accompanying software development, or in the testing of
internally developed pricing models for derivatives and complex
transactions.
Qualifications
* MSc, preferably in Sciences or Finance; strong proven analytical
skills.
* Familiarity with derivative instruments, arbitrage pricing theories
and models.
* Enthusiasm and desire to expand knowledge of market risk management
within a capital markets and derivative products context.
* Good spoken and written English.
* Proficiency in Visual C++ and the STL, VBA, Matlab
Start date: October 2002
To apply:
Please submit your CV and a covering letter to the address below, quoting
reference number FIN965
Sarah Ball, Human Resources 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]
For more information about the Bank please visit our website: www.ebrd.com
Sarah Ball
HR Manager, Client Management: Non-Banking HQ professional staff
Human Resources Department
EBRD
[log in to unmask]
Tel: 44 (020) 7338 6477/Fax: 44 (020) 7338 6097
www.ebrd.com
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