Derivatives Risk Manager, Fixed Income & CVA/CCR (AVP/VP), Luxembourg

  • Excellent Salary & Bonus & Extensive Benefits, Luxembourg (low tax)
  • Luxembourg
  • Permanent, Full time
  • Millar Associates
  • 17 Nov 17 2017-11-17

This leading Investment Bank provides a range of investment banking services across lending, securities and trading and fund management. We seek a dynamic quantitative risk manager to join a team managing risk for large derivatives transactions across CVA, CCR (Counterparty Credit Risk), PFE, Liquidity risk, Collateral and Capital consumption.

Derivatives Risk Manager, Fixed Income & CVA (AVP/VP)

Rates, FX, Inflation, CVA, CCR, Capital & Liquidity

Top-tier Investment Bank

Excellent Salary & Bonus & Extensive Benefits, Luxembourg (low tax)

This leading Investment Bank provides a range of investment banking services across lending, securities and trading and fund management.  We seek a dynamic quantitative risk manager to join a team managing risk for large derivatives transactions across CVA, CCR (Counterparty Credit Risk), PFE, Liquidity risk, Collateral and Capital consumption.

KEY RESPONSIBILITIES:

  • Configure and control interest rate, inflation and FX derivatives valuation models (Numerix).
  • Implement and control models for credit and CVA.
  • Implement and control models for PFE exposure, Collateral & capital consumption.
  • Report on valuation and risk positions and produce opinions on the impact of new transactions and regulatory issues such as changes in ISDA/CSA documentation.
  • Monitor the collateralization process, solve collateral disputes.

ESSENTIAL SKILLS & EXPERIENCE:

  • Very good university degree in quantitative / engineering discipline, ideally with a Masters.
  • Minimum of 3 years’ professional experience gained in a major derivatives house.
  • Derivatives risk management, including two of the following, Valuation, CVA calculations & Funding, CCR, Liquidity, PFE & Collateral.
  • Experience in derivatives valuation packages, preferably Numerix.
  • Proficiency in (ideally) C# (or similar such as C++), VB and SQL.
  • Familiarity with CCR risk mitigation, including ISDA/CSA documentation, is a considerable plus. 
  • Familiarity with BCBS regulations, EBA standards and best banking practice in the field would be considered an advantage.