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J O B D E S C R I P T I O N |
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| Created / Renewed on |
September 7, 2007 at MBA-Exchange.com |
| Deadline date |
December 7, 2007 |
| Job Title |
Principal Risk Manager, Exposure and Portfolio Risk |
| Type of Position |
Full Time Job |
| Functional Area |
Finance, |
Job Description
(primary responsibilities,
reporting structure,
career path...) |
Job Title: Principal Risk Manager
Department: Exposure and Portfolio Risk, Portfolio Risk Management, Risk Management, HR & Nuclear Safety Vice Presidency
Reports to: Senior Manager, Exposure and Portfolio Risk
Background
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 portfolio based market and credit risks. PRM are currently participating, with the help of external consultants, in the design and implementation of a new risk engine as part of a major Risk Management Systems Project. The integration of market and credit risk modeling is one of the major features of this project.
Within PRM, a new Exposure and Portfolio Risk Group (EPR) has been created with primary responsibility for the quantification of credit risk (both at the individual counterparty level and at the portfolio level), economic capital modeling, and risk-return analysis. While the focus of the systems currently used by the EPR Group is on Treasury credit risk, the aim of the RMSP is to conceive, implement and use a new, Bank-wide, exposure modeling and portfolio credit risk system, thereby also encompassing the risks from the Banks activities in the Countries of Operations.
The products handled include 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 risk measurement work.
The core responsibilities for the Principal Risk Manager will be:
Key participation in the development of the Bank's new portfolio credit risk measurement system.
Portfolio credit risk:
Participation in the development of the methodology, model assumptions and input parameters, for a new portfolio credit risk system.
Measurement of portfolio credit risk (credit VaR) on the Treasury portfolio initially (using current systems) and on both the Banking and Treasury portfolios once the new systems are in place.
Analysis and reporting of credit VaR and the various risk measures, with a particular emphasis on the assessment of correlations and concentrations in both portfolios as well as the combined portfolio.
Contribution to the enhancement of the methodology used for credit value-at-risk and stress tests for credit risk, both exposure and potential loss-based.
Contribution to the selection of parameters used in ABS cash-flow models.
Portfolio credit risk stress tests
Conception, design and implementation of a portfolio stress testing framework, allowing sensitivity analysis and stress testing scenarios.
Economic capital
Measurement of bank-wide expected and unexpected losses.
Determination of economic capital and provisions.
Competencies & Personal Attributes
Deals effectively with internal and/or external 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.
Demonstrates creativity and imagination in his/her work.
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.
The European Bank for Reconstruction and Development has a unique challenge to assist the countries of central and eastern Europe and the CIS in their transition to market economies.
Through its investments the EBRD promotes private sector activity, the strengthening of financial institutions and legal systems, and the development of the infrastructure needed to support the private sector. It applies sound banking and investment principles in all of its operations, and promotes environmentally sound and sustainable development.
We offer action and achievement in a truly historic enterprise.
To submit your on-line application for this position, visit
http://www.ebrdjobs.com/fe/tpl_ebrd01.asp?newms=jj&id=42481&aid=15523
EBRD is currently recruiting for many other areas of the Bank. Please refer to our job pages for information about current opportunities.
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| Locations |
Western Europe - United Kingdom |
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| Q U A L I F I C A T I O N S |
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Preferred/Required:
Job qualifications and
experience,
academic degrees,
personal traits... |
Minimum 5 years worth of relevant capital markets experience, in quantitative risk management, preferably with portfolio credit risk modeling experience gained within a leading financial institution(s);
Strong proven analytical skills, notably conversant with structural models used in portfolio credit risk modeling and credit value-at-risk methodology;
Good knowledge of mathematical (e.g. MatLab, Mathematica) and statistical packages (e.g. SAS, GAUSS, SPSS);
Good IT skills including Excel VBA, Java
University educated in Finance or the Sciences, to Masters or PhD Level.
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| TO APPLY |
YOU MUST FIRST REGISTER WITH MBA-EXCHANGE.COM (takes two minutes). YOU WILL THEN BE REDIRECTED BACK TO JOB TO APPLY |
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