Risk Factor Modelling Consultant

Result of ServiceThe consultant will enhance OIM’s Investment Risk Framework. Work LocationNew York, Hybrid; Remote Expected duration6 months Duties and ResponsibilitiesThe United Nations Secretary-General is responsible for the investment of the assets of the United Nations Joint Staff Pension Fund (UNJSPF). 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 heads the Office of Investment Management (OIM), which manages a $95+ billion multi-asset class, global investment portfolio, about 85% of which is actively managed in-house. Asset classes under management comprise global equities, fixed income, foreign exchange, private equity, real estate, infrastructure, timber, and commodities. OIM’s staff are all based in New York but come from over 40 countries. For more information, please visit https://unjspf.org/. A. Risk Target Setting 1. Define the absolute and relative risk appetite of the fund. 2. Translate strategic risk objectives into measurable targets at the total portfolio and asset class levels. 3. Align risk targets with the fund’s long-term sustainability and investment objectives. B. Factor Definition 4. Develop a taxonomy of risk factors, beginning with macroeconomic drivers: a. Primary: i. Core Macro: Equity, Interest Rates, Credit, Commodities ii. Secondary Macro: Emerging Markets, Foreign Currency, Local Inflation, Local Equity b. Secondary: i. Macro Styles: Equity Short Volatility, Fixed Income Carry, Foreign Exchange Carry, Trend Following ii. Equity Styles: Low Risk, Momentum, Quality, Value, Small Cap Crowding 5. Establish criteria for factor selection based on explanatory power, stability, and relevance to OIM’s portfolio. C. Factor Mapping by Asset Class 6. Map each asset class and sub-asset class to the defined risk factors. 7. Identify factor exposures using historical data, regression analysis, and expert judgment. 8. Address overlapping exposures and ensure consistency across public and private markets. D. Factor Optimisation 9. Develop optimisation routines to construct portfolios that maximise risk-adjusted returns under factor constraints. 10. Incorporate strategic tilting to provide flexibility that reflects a conditional view. 11. Incorporate factor diversification principles to avoid concentration risk. 12. Simulate portfolio outcomes under different macroeconomic scenarios. E. Risk Budgeting Around Factors 13. Design a factor-based risk budgeting framework that allocates risk capital across factors rather than asset classes. 14. Integrate this framework into the total portfolio construction process. 15. Enable internal competition for capital by linking factor risk budgets to performance attribution. F. Collaboration and Reporting 16. Work closely with the Risk and Performance team. 17. Provide weekly updates to the Financial and Performance Risk team. 18. Participate in working sessions with external vendors (e.g., Northern Trust, Ortec, MSCI) as needed. Qualifications/special skillsDo you have an advanced university degree (Master’s degree or equivalent) in Mathematics, Physics, Statistics, Business and Administration (MBA), sustainable finance, finance, economics, or a related field? A first-level university degree in combination with qualifying experience may be accepted in lieu of the advanced university degree. Do you have experience in designing end-to-end risk-factor-based portfolio construction and investment risk analysis? At least seven years of experience in the field of risk management. LanguagesEnglish and French are the working languages of the United Nations Secretariat. Fluency in spoken and written English is required for the consultancy. Knowledge of an additional official UN language is an advantage. Arabic, Chinese, English, French, Russian and Spanish are the official languages of the United Nations Secretariat. Additional InformationNot available. No FeeTHE UNITED NATIONS DOES NOT CHARGE A FEE AT ANY STAGE OF THE RECRUITMENT PROCESS (APPLICATION, INTERVIEW MEETING, PROCESSING, OR TRAINING). THE UNITED NATIONS DOES NOT CONCERN ITSELF WITH INFORMATION ON APPLICANTS’ BANK ACCOUNTS.