Role Profile Job Title: Market Risk Manager Division/Function: NTMA _ Risk Reports to: Senior Market Risk Manager Job Family: Risk Career Stream: Professional Contract Type: Permanent **Closing date for applications is Thursday 5th September 2024** Summary of the Business The National Treasury Management Agency (NTMA) is a State body which operates with a commercial remit to provide asset and liability management services to the Irish Government. This includes control and management of the Future Ireland Funds which are currently being implemented. They comprise the Future Ireland Fund (FIF, established to support, in a consistent and sustainable manner, State expenditure in any year from 2041) and the Infrastructure, Climate and Nature Fund (ICNF, established to support State expenditure, in 2026 or any year thereafter, in the event of a significant deterioration in the economic or fiscal position of the State and to support State expenditure, between 2026 and 2030, on certain environmental projects). Other businesses managed by the NTMA include Funding & Debt Management (FDM), the Ireland Strategic Investment Fund (ISIF), the State Claims Agency (SCA), the New Economy and Recovery Authority (NewERA), and the National Development Finance Agency (NDFA). Working at the NTMA offers excellent benefits including: Flexible work options including remote working and variable work hours An extensive wellbeing programme Excellent learning and development opportunities that allow for full career development within the organisation including education support and paid study leave Reimbursement of annual professional membership fees Competitive salary and 25 days annual leave Career Average Defined Benefit Pension Scheme A diverse range of initiatives: LGBT+, Gender Matters, Disability Awareness, Sports & Social, Volunteering and lots more Role Summary The successful candidate will play a key role in the implementation of the FIF and the ICNF, and in developing the NTMA's Risk Management Framework to accommodate the new funds. As a member of the NTMA Risk team, the Market Risk Manager will also provide support and challenge to the various business units (including FDM, ISIF, FIF, ICNF, SBCI, and NAMA) in their management of market risks. The Market Risk Manager is a key role in the NTMA's Market Risk Management Framework, providing support to the NTMA Enterprise Risk Management Committee, the Investment Committee and the Market and Liquidity Risk Committee, with a particular focus on the FIF & ICNF. The Market Risk Manager will influence NTMA senior management and stakeholders on all market risk issues, providing regular updates on exposures, emerging trends, prevention, and mitigation. Principal Accountabilities Work closely with the FIF and ICNF management teams to support the understanding of their investment strategies, respective risk appetites, and risk exposures. Develop risk policies, limits, and KRIs in respect of the new funds. Provide FIF and ICNF with independent and effective second line challenge on risk-taking. Work closely, alongside NTMA Risk colleagues, with the FDM funding and investment teams and with the ISIFs Global Portfolio investment management team to support the understanding of their respective risk appetites, policies, limits, and risk exposures. Provide independent and effective second line challenge on risk-taking. Participate in the financial risk policy review process, analysing the market risk implications arising from new funding strategies, investment strategies, markets, products, processes, or regulatory requirements. Preparation of daily, weekly, and monthly risk management information and dashboards for senior management and committees, along with monitoring and reporting against market risk limits and KRIs. Play a key role in defining NTMA Risk's operating model for new investment mandates including specifying system requirements, analysing policy implications, and the design of risk reporting. Continuous review and enhancement of risk reporting as the NTMA's business needs evolve. Ongoing development of multi-factor/multi-period scenario analysis and stress testing across all market risk exposures (including Fixed Income, FX, Equity, Absolute Return investment strategies, Private Equity, Private Credit, and Real Assets) Ad hoc reporting to senior management on any important change to risk exposures. Valuation of fixed income products (including Bonds, Repos, Loans, Deposits, Swaps and Short-Term Paper) Maintenance and benchmarking of yield curves. Play a key role in major risk projects. Ongoing development and maintenance of the Agency's core treasury risk systems. Ad hoc analytical/research supporting the NTMA business units and external agencies. Experience/Skills Required for the role At least 10 year's relevant risk management experience in the financial services industry, ideally sovereign wealth funds, investment or pension funds, institutional asset ownership, or global equity investment organisations. A strong post-graduate degree in a relevant quantitative discipline (e.g. Maths, Economics, Engineering). Proven track record in monitoring, measuring, and managing substantial market risk exposures across a diverse range of complex specialised portfolios. Experience in analysing and monitoring the market risks arising from Private Equity, Private Credit, and Real Asset investments. Excellent understanding of global financial markets and a strong product knowledge. Experience in valuing complex and/or illiquid products and an understanding of accounting implications. A firm understanding, and proven experience of analysing and reporting on the market risks arising from a multi-asset investment portfolio, including multi-factor analysis and the valuation of derivatives and alternative assets. Experience in on-boarding new funds, defining and implementing operating models, and configuring multi-asset investment and treasury risk systems. Excellent understanding of risk methodologies such as VaR and multi-factor stress testing. Strong understanding and experience in curve construction. Excellent attention to detail. Clear and concise verbal and written communication skills. Ability to draft and present papers on complex issues to a broad range of audiences. A high level of numeracy with strong analytical and IT skills (e.g. Excel/VBA, Power Query/PowerBI, SQL, Python, R-Studio, Java). Strong understanding of treasury and portfolio risk management systems (e.g. PORT Enterprise, Charles River, Barra One). In-depth knowledge of Bloomberg. Knowledge of Findur would be a distinct advantage. Highly motivated with a willingness to take initiative and responsibility in a small team. Flexibility, adaptability, and ability to deal with a fast pace of change Pension Abatement If an appointee has previously been employed in the Civil or Public Service and that appointee is entitled to or in receipt of a pension from the Civil or Public Service or where a Civil/Public Service pension comes into payment during the appointee's re-employment that pension will be subject to abatement in accordance with Section 52 of the Public Service Pensions (Single Scheme and other Provisions) Act 2012. Please note: In applying for this position, you are acknowledging that you understand that the abatement provisions, where relevant, will apply. It is not envisaged that the employing Department/Office/Body will support an application for an abatement waiver in respect of appointments to this position. Applicants will be required to complete a Pre employment declaration to confirm whether they have previously availed of a Public sector pension scheme. To be considered for this role you will be redirected to and must complete the application process on our careers page. To start the process click the Continue to Application or Login/Register to apply button below.
