The Currency Exchange Fund (TCX)

The Netherlands

3-6 years


27 May, 2024

(A)VP Risk Management

Job description

About the role

  • Oversee/drive the counterparty onboarding and periodic (credit) review processes (the credit proposals/reviews are prepared by Front Office). This includes a delegated authority to approve certain credit reviews and credit limits.
  • Perform the 2nd line function for key controls in credit related processes, such as monitoring limit use, late payments, counterparty ratings and collateral management.
  • Advise Front-Office on credit issues generally, and in structuring CSAs, guarantees, and other credit support instruments. Oversee the closing process for credit support documentation, perform key controls. Help manage credit events and recoveries.
  • Perform risk management activities on trading positions and portfolio developments, analyse large risk positions, P/L events, VaR movements. Ensure limits are well monitored and properly reported, identify material risks and propose risk mitigations. Maintenance and enhancement of the Risk Framework and Risk Models (market risk and counterparty credit risk).
  • Create and produce/automate risk monitoring reports (daily, weekly, monthly). Perform stress tests and scenario analysis using RiskMetrics.
  • Ensure risk and capital calculations are correct and reviewed in a timely manner.
  • 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.).

About you

  • The ideal candidate has between 3 and 6 years of experience in FX or fixed income derivatives in a market and/or counterparty credit risk management and/or modelling role. Preferable working experience with RiskMetrics.
  • Experience in Market and Credit Risk Management/Measurement for derivatives (FX, interest rate derivatives).
  • Experience with Operational Risk or Enterprise Risk Management is a pre.
  • Experience in risk modelling.
  • 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/Econometrics/Financial engineering. At least Master’s degree.
  • Fluent in English.
  • Strong excel, VBA macro skills and other IT skills e.g. C++/ SQL, Python and database are big plus.