AVP Risk Management

Original Source: TCX

TCX INVESTMENT MANAGEMENT COMPANY B.V. (TIM)

As manager of The Currency Exchange Fund (TCX)

Job Title: AVP Risk Management

Primary Responsibilities

  • Perform day-to-day risk management of trading positions, analyze large risk positions, P/L events, VaR movement, ensure limits are well monitored and properly reported, identify material risks and propose risk mitigations.
  • Create and produce/automate risk monitoring reports (daily, weekly, monthly) with a number of risk management measures including performance and attribution analysis, concentration analysis, stress testing, and VaR calculation etc. on regular basis.
  • Ensure VaR and capital calculations are correct and reviewed in a timely manner.
  • Development and review of market risk models or system functionalities to perform necessary analysis on the market or the positions movements.
  • Conduct ad hoc investigations and analysis into risk, market or modelling issues as needed.
  • Perform regular price verification and analysis to ensure pricing to fair value.
  • Liaise regularly with FO trading in the implementation of risk controls and ensure that issues identified (limit breach, incomplete or inadequate risk monitoring, system problems) are addressed in a timely manner.
  • Provide reporting to risk committees, Supervisory Board and Regulatory stakeholders.
  • Collaborate with other corporate functions on issues of common interest (e.g., Finance on bookings, valuation and P&L, operations etc.).

Qualifications

Experience: The ideal candidate has between 2 and 6 years of experience in FX or fixed income derivatives and risk management role in microfinance or investment bank.

Competencies: The ideal candidate possesses some or all the following professional or personal competencies:

  • Experience in (FX), fixed income and interest rates derivative products.
  • Experience in risk quantitative modelling.
  • Experience in asset & liability management.
  • Understanding of macro-economic developments in emerging markets and their impact on FX and interest rates.
  • Result-oriented, international outlook and mindset, pro-active and accountable personality who sets and meets objectives and is able to work under pressure.
  • Enthusiasm, drive and determination; excellent communication and social skills, comfortable in developing relationships at all levels.

Academic Qualifications: Quantitative background in Science/Mathematics/Financial engineering. At least Master’s degrees.

Languages: Fluent in English.

Computer skills: Strong excel, VBA macro skills and other IT skills e.g. C++/ SQL and database are big plus.

Employer description

TCX Investment Management Company BV (TIM) –  www.tcxfund.com

TIM is the exclusive investment manager of The Currency Exchange Fund NV (TCX or the Fund). TCX is an innovative capital markets initiative focusing on the provision of longterm cross-currency and interest-rate derivatives in frontier market currencies. TCX offers hedges to international investors that provide long term local currency funding to developing country borrowers, or to domestic USD or EUR borrowers in these countries. TCX was formed in 2007 and currently runs a global emerging market swaps portfolio of USD 1.5 billion (notional value), with the intention to double this.

TCX operates on a double bottom line, seeking to offer sustainable local currency solutions to participants in its target markets whilst expecting a profitable, market based return. It has a capital base of circa USD 600 million provided by 20 leading development finance institutions and microfinance investors (including IFC, EBRD, KfW, FMO, AFD/Proparco, JBIC, AfDB, DBSA and others).

TCX’s origination is closely linked to that of its investors. A predominant source of transactions is meeting the hedging requirements of its investors directly, leading to a very close cooperative effort between the TIM commercial team and that of the investing institutions. A secondary transaction origination channel is the direct approach to investor clients in developing countries. TIM currently has 27 employees. The CRO’s office presently consists of 2 employees. A significant portion of the non-commercial activities and support functions are outsourced to several operational partners, including Cardano Risk Management B.V. and DLM Finance B.V.

We offer

A competitive package based on education level and working experience.

Contact Person

Ilona Eichler, HRM (i.eichler@tcxfund.com)

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