Overview
Manage risk of derivatives, analyze collateral requirements, and oversee credit risk monitoring for the United Nations Joint Staff Pension Fund's investment portfolio.
Tasks Summary
- Manage risk of derivatives and establish limits for positions
- Analyze collateral requirements and daily monitoring of positions using stress test models
- Ensure accurate and complete review of risks arising from swaps, repos, forwards, futures, TBAs, and other derivatives
- Ensure successful implementation of the derivatives project and oversee implementation of the credit/counterparty module system
- Provide guidance on contracts with counterparties, risk processes, and procedures
- Prepare guidelines and policies related to derivative transactions
- Establish a dashboard for monitoring positions
- Prepare risk opinions for material derivative transactions, collateral management, and related topics
- Advise and guide on proper processes for implementing and using derivatives
- Develop or introduce methodologies to support risk assessment
- Produce and implement a comprehensive credit risk monitoring mechanism for investments
- Periodically review derivative positions, counterparty risk, and collateral requirements
- Represent the Organization at inter-agency meetings on substantive-related issues
- Participate in international, regional, or national meetings and provide expertise on derivatives
- Carry out other tasks as assigned
- Develop liquidity risk metrics/policy and perform stress testing
- Coordinate with pension administration and portfolio managers on liquidity-related funding
- Perform credit risk assessment across the total portfolio and oversee exposures
- Contribute to management and external reporting on Fund risks
- Ensure alignment with risk policies and lead automation of credit/derivative/liquidity risk reporting and dashboards
- Mentor, guide, and train new team members
Experience Requirements
- Minimum of seven years of progressively responsible experience in investment management institutions
- Minimum of seven years of direct experience with derivatives in an investment, or risk oversight/risk management role
- Experience with computer languages such as Python, R or Risk Management/Investment platforms, such as Bloomberg or RiskMetrics is desirable
- Experience in implementing a derivatives program is desirable
Qualification Requirements
- Advanced university degree (Master's or equivalent) in Business Administration (MBA), Finance, Economics, Mathematics or related field is required
- A first level university degree in combination with academic qualifications and experience in investment/risk management may be accepted in lieu of the advanced degree
- Additional relevant professional qualifications (e.g CFA, CQF) is desirable