Counterparty Risk Specialist – ESM

The European Stability Mechanism (ESM) is looking for a Counterparty Risk Specialist

Position Objective:

To manage counterparty risk related to the portfolio of investment of ESM’s paid in capital, within the boundaries of the ESM ‘High Level Principles of Risk Management’, Risk Policy and Risk Appetite Statement. The role includes the management of a limit framework and the regular review of individual counterparty and issuer limits, including proactive monitoring of existing positions. The role will also extend to the support of the Senior Credit Risk Manager in development of the overall credit risk management framework.

Key Accountabilities:

• Counterparty Risk Framework
  • Conducting regular updates of the credit risk policy for counterparties and issuers of ESM and EFSF;
  • Maintenance of adequate methodology for the assessment of the counterparty limits;
  • Management of an appropriate limit framework and methodology;
  • Development of monitoring tools, including treatment of derivatives (mainly, but not limited, to foreign exchange and interest rate swap transactions);
  • Performing operative controlling and methodological advancement of the risk management process for counterparty risk.

• Counterparty Risk Assessment
  • Development of proposals for counterparty limits based on the analysis of risks associated with individual entities;
  • Analysis and assessment of individual counterparties, with regular reviews;
  • Identification, analysis and development of credit risk mitigation measures;
  • Control of portfolio’s creditworthiness and alerting ESM Risk Senior Management to potential trends;

• Credit Risk Management/Reporting
  • Development and update of credit risk components of ESM’s Risk Policy and Risk Appetite Statements;
  • Interaction with ESM’s Internal Risk on credit risk issues;
  • Formulation and implementation of credit stress testing methodology;
  • Oversight of the process of monitoring and reporting of limits by Middle Office;
  • Preparing Credit Risk reports for IRC and BRC.

Deadline: 18/07/2014 23:59

Location: Luxembourg

Read more and apply here.