Market Risk Analyst, Chennai, India

Market Risk Analyst, Chennai, India

Closing Date: Wednesday, 26 February 2014

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Organization

World Bank

City

Chennai, India

Office

The World Bank, Chennai

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Background / General description:
The Chief Risk Officer (CFO) Vice Presidency of the World Bank is the core unit responsible for institutional risk oversight, including establishment and monitoring adherence to risk policies and guidelines and risk assessment and reporting to the Board and executive management.
The Market & Counterparty Risk Directorate focuses on oversight of risk in two areas:

1. Market Risk, which covers ALM, interest rate, spread (funding and investments) and FX risk, and the availability/cost of or access to ready liquidity and long-term funding, and
2. Commercial (i.e. not sovereign lending) Credit Risk, which includes risks to IBRD resulting from changes in creditworthiness of IBRD's commercial counterparties.

Responsibilities for both areas focus on three sub-functions:

1. Risk Control Guidelines: Establishing and maintaining robust risk control guidelines (including setting limits) governing IBRD's investment management, borrowings and derivatives, consistent with the institution's financial policies and risk tolerances;
2. Risk Monitoring and Compliance: Identifying and measuring IBRD's market and counterparty risks; Assessing risk associated with new strategies, initiatives and transactions; Ensuring compliance with financial policies and risk control guidelines; Managing the process of resolving exceptions where required
3. Reporting: Providing executive management and the Board with regular risk oversight reports. Providing the enterprise's thought leadership on risk issues and relevant industry, regulatory and legal developments.

Note: If the selected candidate is a current Bank Group staff member with a Regular or Open-Ended appointment, s/he will retain his/her Regular or Open-Ended appointment. All others will be offered a 4 year term appointment.
Duties and Accountabilities:
The position of Market Risk Portfolio Analyst is based in Chennai where the incumbent will be part of the quantitative analytics team and will report to the Manager - Market Risk unit under the Market & Counterparty Risk Directorate in Washington DC. Specific accountabilities will include the following:

• Perform complex portfolio- and security-level analysis and modeling of market risks, including data analysis and calculation of risk metrics.
• Perform daily market risk reporting, limits monitoring, trend analysis. Research and report on key changes.
• Develop data analysis processes and capabilities to support high level quarterly and monthly management reporting on risk and risk attribution, including sensitivity analyses.
• Develop complex program models to extract data and use databases to provide statistical and financial modeling. Perform project work on automation and data capture initiatives.
• Research and follow up on queries regarding portfolio risk and risk factors including portfolio composition, market changes and changes to analytical methods.

Selection Criteria:

• 3-5 years work experience in Market Risk or trading/capital markets quantitative analysis.
• Knowledge of fixed income products and markets, including derivatives.
• Knowledge of Greeks, risk measures, sensitivities and VAR.
• Strong quantitative, analytic and reasoning skills.
• Strong programming (i.e., C#/Java, SQL) and MS Excel skills.
• Experience with data mining and MIS reporting.
• Strong communications skills.

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