Risk Specialist (Market Risk)
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Angajator: | BCR |
Domeniu: |
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Tip job: | full-time |
Nivel job: | 1 - 5 ani experienta |
Orase: |
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Actualizat la: | 23.04.2023 |
Remote work: | Hybrid |
About our team
We are the ones who reinvent banking every day through digitization solutions and financial education. Annually, 1 in 5 Romanians buy a home using BCR's services and products, and 1 in 6 Romanians access loans for personal needs. We are the team that supports growth and financial health through technology and makes it possible for over 500,000 accounts to be opened digitally.
How you will contribute
You will support the Banking Book market risk management framework through the following:
- Regulatory and internal valuation calculations for the Banking Book portfolio: Market Value of Equity, Economic Value of Equity, BP01, CR01;
- Reporting on interest rate risk in the banking book to ALCO and external stakeholders;
- Collaborating with Bank and Group units on model development, recalibration and closing of validation findings for behavioral modeling of non -maturity products and internal banking book Value at Risk calculations;
- Performing stress testing calculations for interest rate risk in the banking book;
- Pricing and present value methodology for financial instruments: mark to market, mark to model/benchmark methodology;
- Business support for IT implementation of market risk related processes;
- Engagement in Group wide risk projects for Baking Book architecture.
- Degree in Economics/Finance/Mathematics/Statistics;
- Ability to understand and articulate concepts such as VaR, sensitivities, present value/future value, fair valuation techniques;
- Knowledge of banking products and financial instruments is considered an advantage;
- Minimum 3 years’ banking experience or valuation related experience (in other financial institutions or consultancy)– former experience in Risk/ALM/Accounting area will be treated as an advantage;
- Familiarity with regulatory frameworks (CRR/CRD, IRRBB, stress testing) is considered an advantage;
- Strong quantitative and data oriented skills- knowledge of SQL is a must;
- Medium knowledge of Kondor/MATLAB/ R/ Python – nice to have. If you don’t have it, you will learn here;
- Advanced knowledge of English;
- If you are accountable, a real team-player willing to learn and if you do your job with passion.
- Benefit budget through Benefit online platform;
- Banking and private pension benefits;
- Private medical services;
- Flexible working schedule and work from home policy;
- Accessible & modern head offices in Grozavesti;
- Up to 27 vacation days depending on your years of experience;
- Days off for unexpected events;
- Free day on your birthday;
- Programs and platforms that allow you to learn anytime, anywhere and from any device.
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