Principal Risk Manager, London, United Kingdom

Principal Risk Manager, London, United Kingdom

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Organization

EBRD - European Bank for Reconstruction and Development

Country

United Kingdom

City

London, United Kingdom

Office

EBRD London

Principal Risk Manager
Ref PRM STC Country United Kingdom
City: London
Department: Risk Management Vice Presidency
Business Unit: Portfolio Risk Management
Closing date for applications: 12 March 2014
Role Overview
This Quantitative role will focus on credit risk modeling, specifically Potential Future Exposure ('PFE') simulations using the Bank's Monte Carlo simulation based risk engine.It is aimed at strengthening the current credit risk methodologies, models, controls and processes, and in particular to bring the Bank in line with best practice and latest regulation in those areas.Extensive experience with programming in a credit risk modeling context, with pricing financial instruments, statistical estimation and optimization methods is required.This role will report to the Principal Risk Manager in charge of Exposure Modeling.
The Team
Portfolio Risk Management ('PRM') is, within the Risk Vice-Presidency, the quantitative group responsible for the Bank-wide identification, measurement, monitoring and mitigation of market, model and credit risks. The EBRD is involved in a wide range of Fixed Income and Equity products.The role is in the Exposure and Portfolio Risk group ('EPR'), a small team in PRM in charge of credit risk methodologies and quantification, both at the individual counterparty level (Potential Future Exposure - 'PFE' - calculation) and at the portfolio level (credit VaR, Economic Capital and Stress Testing).
Key Responsibilities and Deliverables
The Risk Manager will help strengthen PRM's processes and models, in particular around (but not limited to) the calculation of credit exposure, using the Bank's Monte Carlo-based risk management system for Potential Future Exposure (PFE):
1) Implement, update, validate and document counterparty risk models for PFE on OTC derivative and repo transactions. Review and update add-ons for exotics ( running Monte-Carlo simulations) where accurate modelling is deemed too onerous.
2) Model and recommend updated collateral parameters to be used as input in the negotiations of ISDA CSA documents.
3) Review and enhance procedures and controls around the production of PFE measures, in particular with a view to ensure compliance with Basel III, new regulations and industry best practice. Contribute to a gap analysis documenting the current production framework vs. regulatory requirements.
4) Participate in the calibration and backtesting of the risk factor scenario generation.
5) Write specifications for bug fixes and enhancements that may be required and follow-up on their testing and implementation.
6) Review from a functional perspective the interface between the source systems (trade booking and market data) and the risk system.
7) Test and validate new pricing instruments in the PFE framework8) Implement and document controls processes on the PFE production batch9) Participate in the UAT release testing and impacts analysis.
Essential Skills, Experience & Qualifications

• University-level education, in finance or sciences. Ideally a first degree in a scientific discipline followed by a specialisation in financial maths.
• Minimum 3-5 years of relevant experience in a risk management methodologies team. Experience with the implementation of regulatory requirements would be desirable.
• Good overall analytical and quantitative skills including numerical methods and techniques.
• Good understanding of financial instruments in general and in particular interest rates, foreign exchange, equity and credit derivatives.
• Advanced IT skills, including Matlab, Perl/Python, SQL and Excel VBA required.
• Experience with Summit, NumeriX and MarkIt's QUIC risk management software would be a distinct advantage.

Competencies & Personal Attributes

• Plans work well, establishes suitable priorities, anticipates problems and responds in a timely manner, meets deadlines.
• Ability to think through tasks and implement accordingly.
• 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.

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.

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