Director – Risk Modelling, Validation, and Stress Testing

Purpose of Job

Director – Risk Modelling, Validation, and Stress Testing manages a team of quantitative risk analytics professionals

The job holder directs measurement, monitoring, modelling, and management of the Bank’s market and liquidity risk, assessment of economic capital, development of risk analysis, develops and maintains the ECL model, including engagement with the external auditors on the approach/methodology, compliance with IFRS 9, and stress-testing to support key business decisions.

Individual will provide oversight of the risk system architecture, limit compliance and development, maintenance and validation of market risk, credit risk, and economic capital model infrastructure via line management of a distinct model validation team.

Background

The team supports the Managing Director, Risk Management, and Vice President Chief Risk Officer (CRO), and collaborates closely with all Risk Directors and other stakeholders to enhance the quality of risk management framework at the Bank.

The director is a member of the Asset and Liability Committee, represents the MD Risk management and VP CRO at other forums as required, and liaises closely with Banking and Finance. The role interacts with external and internal auditors, rating agencies and peers among commercial banks and international financial institutions on relevant issues related to the Bank’s portfolio analytics, models and risk management infrastructure.

Accountabilities and Responsibilities

• Provides leadership and vision to the team and is responsible for all aspects of managing, supporting and developing the team to deliver the team strategy and objectives.
• Monitors and ensures the team provides timely and effective support and advice, proactively manages the pipeline of activity
• With management colleagues, contributes effectively and leads the process for shaping the Bank’s Risk Appetite and Risk Management Strategy and engage in wider Bank initiatives, representing the Risk Department. Educate and align individuals in the team with the Bank’s work, decisions and objectives.
• Provides effective leadership in the development of best practice risk standards and guidance. Promotes a partnership approach to ensure effective co-operation and working relationships between Risk Management and other departments in the Bank. Maintain external network to ensure understanding of market practice.
• Provides oversight and strategic direction to the development of the Bank’s economic capital modelling, stress testing, credit modelling, as well as market risk and liquidity risk model-based assessment. This includes the ECL model and engagement with the External Auditors to ensure their agreement as to the adequacy of IFRS 9 general provisions.
• Provides oversight of quality, consistency, and governance of risk models and data. Lead a model validation team to ensure professional good practice standards of model risk management within the context of EBRD activities.
• Develops, coordinates and delivers risk management information and intelligence about developments and prospective risks and exposures in the portfolio and deliver these in a timely manner to Senior Management, Board, rating agencies and auditors as required.
• Provides adequate challenge to Treasury strategy and risk taking. Participate in the Asset Liability Committee as Committee member. Oversee regular risk compliance checks for Banking and Treasury portfolios and authorise excesses of Treasury portfolio concentration limits as appropriate.
• Directs and holds responsibility for the risk system architecture and reporting of risk data from the IT systems and Risk Management System (RMS), the testing and validation of Treasury Front Office and Risk valuation models and the development of risk measurement methodologies.
• Coordinate assessment of risks related to new Banking products, determine adequate approach and policies, and coordinate approval process.
• Directly accountable for the engagement and effective overall management of departmental staff including recruitment, compensation, performance management, coaching and development.
• Champions and role models the Bank’s Behavioural Competencies and Workplace Behaviours, ensuring adherence within the team(s) so that the highest standards of integrity and ethical conduct are exhibited at all times.

Knowledge, Skills, Experience & Qualifications

• Understanding of the type of activities the EBRD engages in (in terms of clients, products, funding and processes).
• Familiarity with data governance and portfolio analytics.
• Extensive exposure to derivatives, obtained first-hand in either trading, sales, or risk management.
• Demonstrated track record of strong people management experience, including in workforce and resource planning.
• Extensive engagement in the finance industry with optimally a combination of model development, portfolio analytics, market risk management, and corporate banking.
• Experience in data governance.
• Exposure to risk management processes and governance across all aspects of Bank’s activities.
• Quantitative modelling capability to provide oversight and challenge to the model development and model validation teams.
• Strong analytic skills and interest in and ability to manage and work with data and come to clear conclusions and recommendations.
• Ability to interface with Board members, senior management on technical matters using clear language.
• Strong written and oral communication and presentation skills.
• Strong partnership and influencing skills to enable positive engagement with stakeholders throughout the Bank and externally.
• Excellent written and spoken English; other Bank languages a plus.
• Experience designing, planning and delivering change, particularly related to implementing new ways of working.
• Advanced degree in mathematics, sciences, economics, finance, or equivalent work experience.

This is a 4 year term appointment.

What is it like to work at the EBRD? / About 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.

At EBRD, our Values – Inclusiveness, Innovation, Trust, and Responsibility – are at the heart of how we work. We bring these to life through our Workplace Behaviours: listening well and speaking up, collaborating smartly, acting decisively with full commitment, and simplifying to amplify our impact. These principles shape our culture and define our success. We seek individuals who not only share these values but are also committed to embedding them in their daily work, fostering a positive and high-performing environment.

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. Our workforce reflects a broad range of backgrounds, perspectives, and experiences, bringing fresh ideas, energy, and innovation and enhancing our ability to serve our clients, shareholders, and counterparties effectively.
• A hybrid workplace that offers flexibility to teams and individuals; that is based on trust, flexibility and connectedness.
• An environment that places sustainability, equality and digital transformation at the heart of what we do.
• A workplace that prioritises employee wellbeing and provides a comprehensive suite of competitive benefits.

Diversity is one of the Bank’s core values which are at the heart of everything it does. 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, gender identity, sexual orientation, age, socio-economic background or disability.

Please note, that due to the high volume of applications received, we regret to inform you that we are unable to provide detailed feedback to candidates who have not been shortlisted (for further consideration).

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Important Application Information:
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How cinfo Can Support You in the Application Process for This Position

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