Production and analysis of risk reports on Lyxor funds including different strategies :
- ETF and Index Funds,
- Hedge Funds / Managed Accounts (Long short equity, Global macro, CTA, Event driven, etc),
- Fund of Hedge Funds,
- Quantitative Funds (Multi Asset, Formula Funds, CPPI).
Calculation/control of risk indicators :
- Market & Credit exposures (leverage, counterparty, CDS),
- Liquidity (weighted average liquidity, ATV, market capitalization, liquidity stress tests),
- Concentration (sector, country),
- Value at risk (historical),
- Stress test (based on adverse and hypo/historical methodologies),
- Regulatory and contractual investment restrictions (embargo controls, etc).
- Improvement and development of internal tools at the instruments and/or portfolio level.
- Software configuration (Sophis, Sungard adaptive,etc) and improvement and development of internal tools at the instruments and/or portfolio level (VBA macro developments) in order to monitor risk more efficiently and quicker.
- Write-up of policies and procedures related to the improvement of risk tools.
- Reports- production including but not limited to statistics about production and risk consumption.
Technical / Functional skills :
- Qualified to master degree level or equivalent specialized in financial market
- Good knowledge of Office Pack (especially Excel and Visual Basic), financial derivatives and valuation methodologies
- Good understanding of risk methodologies and risk metrics used across various asset classes and ability to interpret and challenge risk metrics
Rigorous, autonomous and strong interpersonal skills with initiatives and commitment.
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