Quantitative Risk Manager, Exposure And Portfolio Risk Job Details

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Employer:

European Bank for Reconstruction and Development

Job Ref No:

100517-MC-001

Job Title:

Quantitative Risk Manager, Exposure and Portfolio Risk

Sector:

Capital Markets

Sub Sector:

Non-US Owned Banks

Risk Type:

Credit

Expertise:

Risk Manager
Trading/Derivatives

The Role

The Quantitative Risk Manager will focus on credit risk and Potential Future Exposure calculations. A substantial amount of work is envisaged to improve risk factor simulation models, including their calibration in a new risk system, and establish a stress testing approach. This will likely involve collaboration with other teams in PRM.

The products handled by the team include the whole range of interest rate, foreign exchange and credit instruments available in the financial markets, with a strong bias towards sophisticated credit risk instruments and over-the-counter derivatives, thereby involving non-trivial work on pricing models and risk measurement.

The Quantitative Risk Manager will have proven experience in credit risk, exposure modeling, stochastic processes and Monte Carlo simulations.

The Team

Portfolio Risk Management ("PRM") is, within the Risk Management, HR & Nuclear Safety Vice Presidency, the quantitative group responsible for the Bank-wide identification, measurement, monitoring and mitigation of market and credit risks.

It is currently in the final stages of implementation of a new risk engine, with integration of market and credit risk modeling one of the major features of the project.

Within PRM, the Exposure and Portfolio Risk Group ("EPR") is a small team with primary responsibility for the quantification of credit risk, both at the individual counterparty level (Potential Future Exposure ("PFE") calculation) and at the portfolio level (credit VaR, economic capital and risk-return analysis).

Key Responsibilities and Deliverables

Quantitative position focused on exposure modeling:

Key participation in the ongoing development of the Bank's new, Monte Carlo simulation-based, credit risk measurement system, in particular with respect to choosing and testing mathematically correct and computationally effective pricing routines.

Exposure modelling:

- Participation in the selection, development and testing of new pricing models for exposure measurement , in particular to replace add-ons and accommodate netting/collateral agreements,

- Liaison with the Bank's Front Office to perform "what-if", pre-trading PFE simulations,

- Recommendation of exposure model inputs and diffusion parameters,

- Documentation of model changes and hypothesis adopted.

Participation in risk factor modeling and calibration:

- Assess the models used for the simulation of risk factor (yield and spread curves)

- Review the calibration of model parameters (mean reversion, volatilities and correlations)

Exposure Stress tests:

- Conception, design and implementation of exposure stress tests, both independently and in conjunction with portfolio credit risk stress tests.

Essential Skills, Experience & Qualifications

Four to five years of relevant capital markets experience, in quantitative risk management, derivatives valuation, preferably with credit risk modeling experience gained within a leading financial institution(s).

Strong proven analytical skills, notably conversant with options pricing theory, stochastic processes and Monte Carlo simulations.

Good understanding of all major capital markets instruments, their rationale and their pricing.

Good programming skills (VBA, Matlab or C++); previous exposure to QUIC, Summit and NumeriX would be a plus.

University educated in Finance or the Sciences, to Masters or PhD Level

Competencies & Personal Attributes

Deals effectively with internal clients. Understands their needs and aims, gains their respect and co-operation.

Plans work well, establishes suitable priorities, anticipates problems and responds in a timely manner, meets deadlines.

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.

This job description is not limited to the responsibilities listed and the incumbent may be requested to perform other relevant duties as required by business needs.

Employment Type:

Permanent

Preferred Degree:

Masters

Region/Country:

Europe, UK, England

City:

London

Address:

Post Date:

05/17/2010