Role Overview Portfolio Risk Management (PRM) is responsible, inter alia, for the identification, measurement, monitoring and mitigation of market risks in the Bank's Banking and Treasury operations.
Role Overview Portfolio Risk Management (PRM) is responsible, inter alia, for the identification, measurement, monitoring and mitigation of market risks in the Bank's Banking and Treasury operations. Banking's operations consist of loans and equity investments in the Bank's countries of operations. Treasury's activities comprise borrowing and investing funds in the international capital markets, managing the Bank's liquidity, asset-liability management and the provision of funding and a range of financial products for EBRD's project financing activities.The products handled encompass the whole range of interest rate, foreign exchange, credit and equity 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 and risk measurement. For risk measurement and monitoring purposes, data is downloaded from the Bank's central repository of transaction and market data, for processing in risk management applications mostly proprietarily developed.The Market & Model Risks team is primarily in charge of validating or developing pricing models for the capital markets instruments traded by the Bank and of measuring and monitoring its exposure to market risk. It is anticipated that the focus for the Senior Manager position will be market and model risks.Reporting line for the Senior Manager is to the Director, Portfolio Risk Management.Market & Model Risks works in close co-operation with other RM teams and with Treasury. It interacts frequently with the Independent Middle Office, as well as with Controller's Department. External contacts are typically with similar departments at commercial and investment banks and software/research providers.
Key Responsibilities and Deliverables The Market & Model Risks team within PRM is in charge of:? Validating the implementation of pricing models embedded in third party software, in particular as to the appropriateness of the models selected for actual transactions and their calibration.? Testing and validating pricing models internally developed by the front-office, including the development of benchmark software as needed.? Participating in the 'new product' approval process, with delegated authority for complex transactions with respect to approving models and strong recommendation powers for new asset classes or new types of instruments.? Participating in the selection of models. ? Refining and reassessing on an ongoing basis the methodologies used by the Bank to measure and monitor market risk, including participating in the development or selection of software implementing such methodologies.? Monitoring market risk on a daily basis and producing analysis and commentary for higher management on the Bank's exposure in the context of evolving market sentiment and situation.? Participating in the ex-post transaction review, the formulation of policy recommendations and procedures manuals.? Managing research projects as needed.
Essential Skills, Experience & Qualifications
Masters/PhD in finance, maths or the sciences.
Minimum 5/7 years worth of relevant capital markets experience with leading financial institution(s), notably in the fields of developing or testing pricing models (this includes multi-factor BGM model within a cross currency framework among others) and/or of cutting edge market risk measurement.
Strong proven analytical skills.
Depending on the position, either in-depth theoretical and practical understanding or substantial familiarity with: options pricing theory, stochastic processes, Monte Carlo simulation and /or value-at-risk and stress testing.
Good understanding of all major capital markets instruments across asset classes, notably with respect to derivatives (including credit derivatives and hybrids).
Familiarity with C++, Excel VBA and MatLab. Previous exposure to Summit and NumeriX would be a plus.
Competencies & Personal Attributes
Good communication and inter-personal skills with the ability to apply this across levels and functions.
Capacity to work under time pressure.
Ability to think strategically and implement accordingly.
Experience leading and managing a small team with quantitative analysis background.
Attracted to the multi-cultural environment of EBRD as well as to the mission of the Bank with its challenges and opportunities.
Ability to operate sensitively in multicultural environments and build effective working relations with clients and colleagues.
