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Analyst, Quantitative Risk Analytics

2 months ago

London, United Kingdom The European Bank for Reconstruction and Development Full time

Purpose of Job
Analyst, Quantitative Risk Analytics (QRA) is a subject matter expert in mathematical / statistical pricing models, manages numerical/quantitative techniques, with understanding of financial markets, transactions, market data, exposure aggregation rules, IT system interdependencies, as well as the ability to interpret and assess the reliability of the results and underlying models and factors. Under the supervision of the Senior Manager, the job holder undertakes tasks, focused on market risk methodologies, models, controls and processes. 

In addition, the Analyst also contributes to the provision of management information and risk analysis of Banking & Treasury portfolios. The Analyst is accountable for reporting any outstanding data anomalies/process to ensure continuous data/systems integrity under the Internal Control Framework (ICF).

Background
Quantitative Risk Analytics (QRA) is a function within Risk Policy & Analytics (RPA) team of the Risk Management department. The Team's primary function is supporting the articulation of the Bank’s Risk Appetite and developing informative Risk Measures and Analytics. The quantitative function is split into the following teams:

Credit Risk: Responsible for the identification, measurement, analysis and mitigation of the credit risks taken by the Treasury and Banking, including exotic products, and engages with them to provide advisory in the pre-trading structuring, collateral mitigants and portfolio what-if analysis, as well as exposure management within agreed limits. Economic Capital & Stress Testing: Provides an internal estimate of overall and marginal Economic Capital consumption to facilitate capital allocation and management and leads the development and utilisation of the quantitative framework for the Bank’s stress testing exercises.  Market Risk: Responsible for the identification, measurement, monitoring and mitigation of market risks in the Treasury and Banking operations. Liquidity Risk : Monitor the liquidity risk measures under normal and stressed scenarios.


Accountabilities & Responsibilities
Depending on the area of specialisation, Analyst, QRA is responsible for all or most of the following:

Produce credit, market or other relevant risk measures and interpretation of the results on a regular basis. Identify and analyse portfolio concentrations and sensitivities, perform regular checks with other information systems to ensure the Risk Management System integrity and report any data anomalies and system-generated alerts to colleagues. Participate in projects with guidance from Principal/Senior Manager, with the aim of improving the existing modelling or to deliver bespoke analysis.  Provide advisory pre-trading structuring, collateral mitigants and portfolio what-if analysis for Treasury and Banking. Perform portfolio incremental exposure, sensitivities calculation and liquidity haircut calibration. Develop and maintain programs enabling efficient checks and analysis of inputs and outputs from both Treasury and Banking market risk systems including current market data, time series of risk factors, trade details as well as risk measures and sensitivities. Maintain the proprietary automated tools required for risk factor parameters estimation, add-on calibration, back-testing and/or Value-at-risk methodology enhancement. Perform Economic Capital calculations and participate in the development and calibration of risk systems. Perform the regular market, liquidity and/or credit risks operational processes, including the ICF testing, valuation reconciliation, market risk factors parameters estimation, backtesting, add-on calibration and impacts analysis on the portfolio exposures. Participate in the in-house analytical/pricing library implementation including new scenarios generation models, pricing functions, sensitivities calculation or risk aggregations.

Knowledge, Skills, Experience & Qualifications

Some relevant financial industry experience (typically an internship) from an investment or commercial bank, private equity, asset management firm or financial consulting firm operating to international standards. MSc in Quantitative Finance or Math/Sciences. Strong quantitative skills in financial modelling and statistics/econometrics. Significant practical experience with the implementation of credit and/or market risk measurement methodologies. Good understanding of all major capital markets instruments across asset classes. Extensive knowledge of industry best practice and the latest status of regulation in the field of credit and/or market riskGood understanding of risk management and portfolio valuation techniques. Plans work well, establishes suitable priorities, anticipates problems and responds in a timely manner, meets deadlines.  Ability to communicate well at all levels, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff. Ability to work to deadlines and under time pressure. A positive attitude to problem solving, identifying solutions and finding ways to overcome obstacles, if need be through compromise and consensus building.Proficient in at least one programming language, e.g. Excel VBA, Matlab or C++. Knowledge of QuiC, Active Pivot, Summit and/or Numerix desirable. Knowledge of databases, SQL, Perl, Python and/or Java 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.