Analyst, Quantitative Risk Analytics

Organisation
European Bank for Reconstruction and Development
Locations

London, UK

Application Deadline

Analyst, Quantitative Risk Analytics (QRA), is a subject matter expert on a broad range of topics related to risk modelling and quantitative finance: credit and market risk modelling, numerical/quantitative techniques, diverse set of financial products and market data, interpretation and assessment of models’ results. Under the supervision of the Senior Manager, the job holder undertakes tasks, focused on the implementation of diverse set of risk measures with the ultimate goal of correctly capturing the risk stemming from the Bank’s activities.

To do so, the Analyst should be comfortable with using programming skills in carrying out their day-to-day tasks. In addition, the Analyst also contributes to the provision of management information and risk analysis on Banking & Treasury portfolio.

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 covers the following areas:

  • Credit Risk: Covers 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: Includes the identification, measurement, monitoring and mitigation of market risks in the Treasury and Banking operations.
  • Liquidity Risk: Monitors the liquidity risk measures under normal and stressed scenarios.

Facts / Scale

  • Key relationships mostly with internal clients (IT, Finance, Treasury, Treasury Credit Risk Management, Banking (FI)) and service providers (IT)
  • No direct reports or budgetary responsibility

Accountabilities & Responsibilities

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

  • Participate in the in-house analytical/pricing library implementation including delivery of new pricing functionalities and risk aggregations.
  • Implement changes using programming skills to enhance the risk analytics processes. Produce credit, market or other relevant risk measures and interpretation of the results on a regular basis.
  • Partner with IT teams to deliver changes to the risk analytics library
  • 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 risk systems including current market data, time series of risk factors, trade details as well as risk measures and sensitivities.
  • 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, risk factors parameters estimation, backtesting, add-on calibration and impacts analysis on the portfolio exposures.

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
  • Outstanding quantitative and problem-solving abilities.
  • Significant practical experience with the implementation of credit and/or market risk measurement methodologies
  • Advanced knowledge of risk management and portfolio valuation techniques
  • Good understanding of major capital markets instruments across asset classes
  • Ability to communicate well at different 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.
  • Knowledge of at least one object-oriented and scripting language, e.g. C++, R, Python, Matlab, Julia.
  • Knowledge of Active Pivot and/or Summit desirable
  • Knowledge of databases and SQL 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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