Portfolio Risk Manager

Carnegie Consulting
London, United Kingdom
GBP70000 - GBP90000 per annum
21 Dec 2020
10 Jan 2021
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Our client a reputable buy-side firm with operations covering North America, Asia and Continental Europe require a "Portfolio Risk Manager" to be based in Edinburgh. The "Portfolio Risk Manager", will have a direct reporting line into the Global Head Portfolio Risk, and form part of an established Portfolio Risk team.

The Portfolio Risk team is involved in the following activities:
  • Modelling and monitoring equity, multi-asset and investment solution market related risks (VAR, expected shortfalls, volatility, tracking error, Beta, correlation, duration, spread duration, spread DTS, liquidity and optimisation) across global portfolios supporting investment decisions and front office
  • Providing quantitative and qualitative analysis in terms of risk production, reporting, modelling new portfolios, and validation of derivative valuation methodologies
  • Ensuring the product suite complies with ESMA, AFIMD, UCITS 40 Act & PRIIPS regulations

On a daily basis the individual will be responsible for the following:
  • Performing value add risk reporting across equity, multi-asset and investment solutions utilising the businesses in-house systems
  • Engaging with Portfolio Manager's, investment team heads and the global CIO function, to develop risk reporting and analysis across a range of portfolios
  • Analyse portfolio risk, and be involved in product development, client servicing and sales strategy
  • Perform ad-hoc risk analysis projects for clients and front office
  • Ensure compliance with policies and standards

Required Experience:
  • Ideally educated to degree level in a quantitative or mathematical discipline
  • Post graduate experience working in a similar role. Post graduate degree is preferred
  • Programming skills - VBA, Matlab & Python is essential
  • Extensive knowledge of financial markets and derivatives, LDI/CDI and Solvency 2 is advantageous
  • CFA, PRM, FRM qualifications preferable
  • Proficiency in Microsoft Office, including strong Excel skills
  • Ability to work independently and be proactive, in terms of suggesting improvements to processes and systems
  • Strong communication, and problem - solving skills

This is an excellent opportunity for a Portfolio Risk Manager/Investment Risk Manager to join a market leading buy-side institution, with a demonstrable track record in the Investment Risk (multi-asset). The role is positioned in the first LOD, and the key stakeholders are the Investment teams, Distribution teams, Senior Management and Operational teams.

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