Market Risk Analyst

Job details :

The Council of Europe Development Bank (CEB), established in 1956, is a multilateral development bank with a unique social mandate. The CEB works to strengthen social cohesion and build thriving communities in Europe by financing projects that promote inclusive growth, support vulnerable groups and bolster environmental sustainability.

The Risk & Control Directorate (R&C) ensures risk mitigation and internal control to safeguard the CEB’s financial stability and guarantee its business continuity. The risk mitigation and internal control measures are carried out by the Financial (Credit and Market) Risk and Operational Risk Divisions. R&C also monitors budgets and ensures accounting is aligned with best practices to preserve the CEB’s creditworthiness and external ratings. The Directorate ensures financial reporting and control in liaison with the CEB’s Administrative Council, Governing Board, Auditing Board, as well as external auditors and credit rating agencies.

R&C is looking for a skilled Market Risk Analyst who will be responsible for providing expert advice and services in market risks. S/he will report to the Head of Market Risk Unit and work in close collaboration with colleagues in R&C.

FUNCTIONS

Main Responsibilities

Asset Liability Management (ALM) and market risk
Perform operational calculation of ALM indicators.
Analyse and report on ALM risks.
Develop quantitative models in R to measure liquidity risk arising from collateral requirements on derivatives and perform operational calculations.
Run, maintain and develop Moody’s risk management applications (RCO ALM, RO, RAY).
Coordinate with the IT division to improve risk management processes and systems.

Valuation of financial instruments and hedge accounting
Ensure that derivatives are correctly booked and valued in the valuation systems.
Book hedge accounting designations in the valuation systems and ensure that the hedge accounting framework complies with IFRS 9 accounting standards.
Report on the financial impacts related to the valuation of financial instruments at month-end.
Coordinate with the IT division to improve valuation and hedge accounting processes and systems.

Capital adequacy and internal stress tests
Develop the capital adequacy ratio projection model and perform associated operational calculations.
Define and evaluate stress test scenarios for the economic capital.

Other
Advise on quantitative market risk issues and collaborate internally within CEB as needed.
Monitor best banking practices and regulatory developments in the areas of financial instrument valuation, hedge accounting and ALM, market and liquidity risks.


Academic background:
Advanced university degree (or equivalent) in finance or a related field, with an advanced background in mathematical finance and programming.

Professional background:
Minimum 5 years of relevant experience in financial services, with good knowledge of ALM and market risks, gained in a financial institution, consulting firm, or a Multilateral Development Bank.
Strong understanding of financial mathematics and experience in financial modelling and programming.
Programming skills: good knowledge of the R language and SQL
Software skills:
          o Good knowledge of MS office;
          o Good knowledge of Moody’s Risk Management Applications (RCO ALM, RO, RAY);
           o Good knowledge of Bloomberg terminal, Bloomberg BVAL Derivative Valuation Services, and Bloomberg Multi-Asset Front Office Risk System;
           o Good knowledge of Refinitiv Eikon Financial Analysis Platform;
Good analytical skills and capacity to structure ideas and synthesise complex information.
Demonstrated rigorous approach.
Proven ability to develop a network of contacts and establish effective working relationships.

Language skills:
Excellent command of one of the two CEB official languages (English and French), both oral and written, and knowledge of the other, with a commitment to reach a good working level.
Knowledge of other languages would be an asset.
 
Core competencies:
Adaptability
Client Orientation
Communication
Innovation
Result Orientation
Team Work

 Nationality:
Citizen of one of the Bank's member countries .


Location : 55 avenue Kleber 75116 Paris