Job Description:
(primary responsibilities,
reporting structure,
career path...) |
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 either equity or debt instruments of limited liquidity or sophisticated instruments and over-the-counter derivatives. Non-trivial work on pricing models and risk modelling measurement should be expected. 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.
The Market & Model Risks team is primarily in charge of measuring and monitoring its exposure to market risk. The team also validates or develops pricing models for the capital markets instruments traded by the Bank.
It is anticipated that the focus for the Senior Manager position will be models of market risk in illiquid markets/instruments (primarily equity) and model risks associated with traditional derivatives products.
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:
- Participating in the selection of models and prototyping thereof.
- Refining and reassessing on an ongoing basis the methodologies used by the Bank to measure and monitor market risk across the whole Bank and all asset classes. This includes 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.
- 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.
- Managing research projects as needed. |
