 |
 |
European Bank for Reconstruction and Development Risk Control /Treasury Internship 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. Risk Control / Treasury internship Background for position 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. Within the Bank' s Risk Management Department, 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. An internship position is now being offered as part of a joint development by Risk Control and Treasury aiming at refining the management of risks incurred in repurchase and reverse repurchase agreements. The intern will work under the joint supervision of the Principal Manager in charge of Analytics & Modelling within Risk Control and of a Portfolio Manager from the Investments-Credit desk in Treasury. Responsibilities The intern's main responsibility is to develop, code, implement, test and document (user and maintenance) a software application. Said application will permit the online computation, prior to trading, of target haircuts for securities deposited as collateral in bilateral repurchase and reverse repurchase transactions and of the corresponding charge to the credit line of the counterparty to the trade. The application will be broad enough in scope to handle the majority of securities likely to be used and flexible enough to allow the smooth addition of new instruments in the future. The work involves, among others, the identification of most suitable sources of market data, its downloading, the production of stand-alone value-at-risk type of computations for each security or security type (either by re-using the proprietary value-at-risk software in use at the Bank or by coding a simplified version of it), the production and ongoing refreshing of target haircuts to be used when negotiating transactions, the comparison of negotiated haircuts to target haircuts and the computation of the corresponding charge to the credit line of the counterparty. Additionally, the intern will contribute to interfacing the application developed into Risk Control's proprietary credit risk measurement (CredEx, a Monte Carlo simulation-based proprietary credit exposure modelling system written in C++ and Java) and monitoring (Credit Risk Integrated System) systems. Qualifications * MSc or PhD, preferably in Sciences or Finance; strong proven analytical skills. * Some familiarity with capital market instruments and credit risk measurement issues. * Knowledge of Excel, VBA, C++. * Previous experience in developing decision support tools for trading purposes would be a plus. * Enthusiasm and desire to expand capital markets knowledge. * Good spoken and written English. Duration of mission: 4 to 6 months Start date: fourth quarter 2001 To apply: Please submit your CV and a covering letter to the address below, quoting reference number FIN2553 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] Sarah Ball Recruitment, Personnel Department EBRD [log in to unmask] Tel: 44 (020) 7338 6477/Fax: 44 (020) 7338 6097 www.ebrd.com ********************************************************************** EBRD SECURITY NOTICE This message has been Virus scanned **********************************************************************