Head of Capital Markets Risk

Job Description

Key Accountabilities:Advisory (close collaboration with Investment Management team, Investment Strategy and Research and Client Investment Solutions)

• Provide top-down advice on pooled fund portfolio construction, asset allocation and hedging decisions within or across the Public Markets Pooled Funds
• Provide Risk Opinions for new / existing key investment activities for Public Market Investments.
• Provide ad-hoc Risk Analysis & advice to Investment Management and Investment & Risk Committee
• Represent IRM at the client risk forum

On-going Risk Management (close collaboration with analytics, private markets risk and valuation functions)

• Own the appropriate quantitative modelling of all investments across the total portfolio in the Risk Management System (risk model). This includes modelling of illiquid investments by means of a risk factor or liquid proxy. Perform portfolio stress tests,sensitivity analyses, market exposure and risk-factor decomposition and monitoring risk metrics relevant to specific portfolios.
• On-going risk monitoring, explanation, and work with Investment Management team to address any breach.
• Monitor and advise on liquidity and leverage risk in and across the spectrum of Railpens pooled funds and sections.

Investment Risk Governance

• Annual review of Investment Risk Directives to ensure up-to-date.
• Annual review of Portfolio Guidelines to ensure up-to-date.
• Annual review of Process Documentations to ensure up-to-date.
• Facilitate knowledge sharing within the IRM Team, wider Fiduciary Team, and across Investment Business, and support development of team members.
• Be a thought leader on investment risk management and build relationships with international peers
• Develop strong and collaborative relationships across the Fiduciary and Investment team

Project Activity:

• Contribute to significant project work to develop the investment risk function and in particular the selection and implementation of the risk model:
  • Define modelling related assessment criteria of the Risk System incorporating IRMs key requirements
  • In-depth risk model assessments (PoC and validation) for final candidates
  • Technical (model) advice & support system selection procedure
• Offer support to projects in and outside of the IRM team

Knowledge required:

• Well balanced and in depth understanding of global financial markets
• Excellent knowledge of risk budgeting & risk factor allocation
• Good understanding of Investment Risk within Defined Benefit pension fund context where investment activities originate from a need to deliver on long term liabilities.
• Excellent knowledge of quantitative investment risk management discipline (e.g. FRM / CFA)
• Excellent knowledge on Risk Models (such as Axioma, MSCI Barra, MSCI Risk Manager, APT).
• Advanced knowledge of fixed income instruments / analytics (e.g. fixed / floating coupon bonds, convertibles, linkers, CDS, liability cash flows, etc.)
• Advanced knowledge of Derivative Instruments (e.g. Equity / Bond Futures, Interest Rate / Inflation Swaps, Total Return Swaps, Currency Swaps / Forwards, Commodity Futures, Options
• Good knowledge of liquidity risk and counterparty risk management
• Good programming skills with Python (analytics) SQL (database).
• Experience working in an investment management or investment consultancy in investment or risk management role
• Capable of both bottom up investment analytics and top down strategic thinking.
• Confident in building and maintaining strong relationships with investment teams in an advisory and collaborative role for which you act as their first point of contact from the Investment Risk Management team.
• Excellent verbal and written communication skills including the ability to communicate complex work and translate it in a concise and strong message suitable for an Investment Committee
• Stakeholder management skills
• Analytical, numerical & attention to details.
• Organizational skills including project work
• Line management skills
• Ability to deliver to deadlines

Qualifications:

• Masters degree in quantitative discipline.
• A post graduate qualification of CFA, FRM and or CQF

Notes: Role offers excellent salary, bonus and benefits including DB pension scheme and oneof best paternity/maternity benefit schemesin market