The European Bank for Reconstruction and Development has a vacancy in the
Treasury Risk Management Unit. Further details and information regarding
the application procedure is below.
Title: Principal Risk Manager, Analytics & Modelling
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 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
Treasury Risk Management 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.
Treasury Risk Management'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
* Contributing to the setting-up of an integrated risk management
framework assessing market, credit and operational risks in a consistent
Current projects focus in particular on:
* Maintaining the Bank's proprietary credit exposure Monte Carlo
simulation-based system called CredEx, together with providing user support
and expanding further the system, 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
control system for treasury transactions.
* Additional responsibilities are:
* Overseeing one programmer.
* 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 send your CV in English, quoting reference PHYSICS*183 to
Sarah Ball, Human Resources Department, European Bank for Reconstruction and
Development, One Exchange Square, London EC2A 2JN. Fax number 44 20 7338
6097. Email: [log in to unmask]
All applications will be acknowledged. For further information about the
Bank's mission, please visit our website: www.ebrd.com
HR Manager, Client Management: Non-Banking HQ professional staff
Human Resources Department
[log in to unmask]
Tel: 44 (020) 7338 6477/Fax: 44 (020) 7338 6097
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