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Principal Risk Officer, Quantitative Risk Analytics

Posting Date: 20-Jan-2023

Location: London, GB

Company: EBRD

Requisition ID 33093
Office Country United Kingdom
Office City London
Division Risk Management  
Contract Type Regular 
Contract Length  
Posting End Date 05/02/2023 

 

 

 

 

Purpose of Job

 

Principal Risk Officer, Quantitative Risk Analytics (QRA) has the overall responsibility for the identification, measurement, monitoring and mitigation of credit and/or market risks and exposures incurred in the Bank’s operations.

The incumbent directs the development, implementation and maintenance of elements of the credit, liquidity and/or market risk measures, related sensitivities and/or stress tests in a way that effectively presents the evolution of risks both in the Banking and Treasury portfolios so they can be used in various analyses and decision making processes. The role provides the quality assurance on the range of activities, such as the model validation, Economic Capital and/or stress testing to the Associate Director.

 

Principal Risk Officer is in charge of training the team and advising the colleagues across the Bank on the processes and best practices to ensure the compliance with policies and regulation. Principal Risk Officer acts as the main point of contact on all issues related to the development and design of quantitative risk measures.

 

Accountabilities & Responsibilities

 

Depending on the area of specialisation, Principal Risk Officer, QRA is responsible for all or most of the following:

 

  • Participate in the review of the Market Risk limit framework as well as the implementation of PnL Explain and Backtesting methodologies.
  • Participate in the in-house analytical/pricing library implementation and/or validation including new scenarios generation models, pricing functions, sensitivities calculation or strategic risk aggregations.
  • Deputise for the Associate Director, as required.
  • Contribute to development and coordination of a team’s long term strategic plan: participate in recruiting, training and developing staff on agreed policies and practices to maintain strong employee engagement. Supervise and share knowledge with junior colleagues, as assigned by the Senior Manager.
  • Provide guidance and advice to the Associate Director on all matters relating to own area of expertise and in support of related policy updates and implementation.
  • Maintain contacts with financial institutions and external rating agencies with a view to keep up to date with the latest methodologies, regulations and best practises.
  • Apply controls to ensure risk processes, systems and practices are monitored, reviewed and evaluated in compliance with Bank’s policies and Internal Control Framework (ICF), and identify opportunities for continuous improvement.
  • Work closely with Credit teams and Finance on delivery of figures for the Capital Adequacy Policy of the Bank. Additionally, provide the Financial Policy and Capital Adequacy team with EC and MtM output for production of the annual Economic Capital Policy review.
  • Directly accountable for the engagement and effective overall management of staff including recruitment, compensation (as agreed with the Head of Department, if applicable), performance management, coaching and development.
  • Champion and role model the Bank’s Behavioural Competencies and Corporate Behaviours, ensuring adherence within the team(s) so that the highest standards of integrity and ethical conduct are exhibited at all times.

 

Knowledge, Skills, Experience & Qualifications

 

  • Strong quantitative skills in financial modelling and statistics/econometrics
  • MSc in Finance or Sciences
  • Good understanding of financial instruments in general and in particular interest rate, foreign exchange, equity and credit derivative products
  • Significant practical experience with the implementation of credit and/or market risk measurement methodologies, including model calibration and result analysis
  • Extensive knowledge of industry best practice and the latest status of regulation in the field of market and credit risk
  • Good understanding of risk management and portfolio valuation techniques (e.g. VaR, sensitivities, CVA/DVA/FVA, correlation modelling)
  • Ability to communicate well at all levels, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff
  • A positive attitude to problem solving, identifying solutions and finding ways to overcome obstacles, if need be through compromise and consensus building
  • Proficient in Python and C++
  • Knowledge of Summit desirable

What is it like to work at the EBRD?

 

Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people's lives and help shape the future of the regions we invest in. 

 

The EBRD environment provides you with:

  • Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in;
  • A working culture that embraces inclusion and celebrates diversity;
  • An environment that places sustainability, equality and digital  transformation at the heart of what we do.

 

Diversity is one of the Bank’s core values which are at the heart of everything it does.  A diverse workforce with the right knowledge and skills enables connection with our clients, brings pioneering ideas, energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities, cultures and opinions and we aim to sustain and build on this strength. As such, the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities.  As an inclusive employer, we promote flexible working and expecting our employee to attend the office 50% of their working time.


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