The Secretary-General has delegated this responsibility to the Representative of the Secretary-General for the investment of the assets of the UNJSPF (RSG). The RSG is, in turn, assisted in this function by the Office of Investment Management (OIM). OIM manages a $100+ billion multi-asset class, global investment portfolio, about 85% of which is actively managed in-house. Asset classes under management comprised of global equities, fixed income, foreign exchange, private equity, real estate, infrastructure, timber and commodities. This position is located in the Risk and Compliance Team of OIM. The incumbent reports to the Senior Risk Officer.
Responsibilities :
Manage risk of derivatives and establish limits for the positions.
Analyze collateral requirements and daily monitoring of the positions using stress test models to estimate margin requirements.
Ensure accurate and complete review of the risks arising from swaps, repos, forwards, futures, TBAs and any other type of derivative.
Ensure that implementation of the derivatives project is successful, leading the function, and oversee implementation of the credit/counterparty module system.
As an active member of the derivatives working group representing risk, provides guidance on contracts with counterparties, risk processes and procedures and other documentation in collaboration with legal, operations, investments and other teams.
Prepare guidelines and policies related to derivative transactions.
Establish a dashboard for the monitoring of the positions.
Prepare risk opinions for material derivative transactions, collateral management and other related topics.
Advice and guide on the proper processes OIM needs to follow when implementing and using derivatives as a risk management tool.
Develop or introduce internal or external methodologies to support risk assessment as appropriate.
Under the supervision of the Senior Risk officer, produce and implement a comprehensive credit risk monitoring mechanism for the investments and provide oversight as the second line of.
Periodically reviews derivative positions, counterparty risk and collateral requirements.
Represents the Organization at inter-agency meetings, seminars, etc.
on substantive-related issues as instructed by the Deputy Director for Risk and Compliance Service.
Participate in international, regional or national meetings and provide programmatic/substantive expertise on derivatives, or hold programmatic/substantive and organizational discussions with representatives of other institutions.
Carry out other tasks as may be assigned by the Senior Risk Officer or the Chief Risk and Compliance officer.
Develop liquidity risk metrics/liquidity risk policy and perform stress testing.
Coordinate with the pension administration and portfolio managers on liquidity-related funding.
Perform the credit risk assessment across the total portfolio and oversee the exposures.
Contribute to the weekly, monthly, quarterly and annual management and external reporting on the risks in the Fund.
Ensure alignment with risk policies and lead automation of credit/derivative/liquidity risk reporting and dashboards.
Mentoring, guiding, and training new team members.
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.
A minimum of seven years of progressively responsible experience working in investment management institutions is required.
A minimum of seven years of direct experience with derivatives in an investment, or risk oversight/risk management role is required.
Experience with computer languages such as Python, R or Risk Management/Investment platforms, such as Bloomberg or Risk Metrics is desirable.
Experience in implementing a derivatives program is desirable.
