Head of European Rates - Market Risk Management # 108730

We Offer
Market risk analyst position for the Europe Rates business within the Global Rates team of the Market and Liquidity Risk Management ("MLRM") department. Your primary responsibility will be to ensure that risks on linear and non-linear products are fully captured, understood and transparent to management and sufficient controls aligned with the firm's risk appetite are in place. In addition, you will also be responsible for validating hypothetical P&L arising from application of stress scenarios for regulatory deliverables.

You will be a part of the Europe Rates team with an opportunity to rotate between Options, Short-Term Interest Rates Trading (STIRT), Swaps, Inflation and Repo trading desks providing exposure to a wide spectrum of linear interest rate products and their derivatives.

You will also have an opportunity to work on quantitative/data mining/modelling projects across a wider Global Rates team along with the BAU responsibilities.

As part of the BAU you will be responsible for:
•Developing full understanding of trading strategies and potential risks of interest rate products within Europe Rates business.
•Performing deep-dive trading portfolio reviews to ensure that higher order risks are transparent to Senior Management and sufficient controls aligned with the firm's risk appetite are in place.
•Performing market stress scenarios in trading portfolios and validating hypothetical P&L arising from the application of stress scenarios. May involve tactical small scale simulations.
•Monitoring trader and desk level VaR and scenario based limits and providing commentary on significant risk drivers.
•Addressing risk factor and scenario/stress gaps to ensure that all appropriate risks are fully captured in the market risk systems.
•Reviewing risk reports processed by Market Risk Reporting (MRR) teams based in Asia and London to ensure risk is captured correctly and large daily moves are explained.
•Developing relevant risk metrics beyond existing ones. Developing financial time series and preparing routine analytical reports using internal systems.
•Building and maintaining relationships with trading desks, senior business management and primary control functions (Product Control, Middle Office, Credit Risk Management).
•Challenging existing risk/valuation methodologies and control framework providing proposals for improvement.
•Ensuring all current and potential P&L drivers are fully understood. Briefing managers on major risks and drivers of P&L and assisting them in preparing for various risk committee meetings.

You Offer
•A quantitative masters degree, typically a M.S or PhD., in business or technical field of study, such as finance, economics, mathematics, statistics, computer science or engineering.
•At least 2 years of experience trading interest rate swaps and options.
•You will have the ability to design or develop spreadsheets, databases, presentations and custom reports.
•Excellent MS Office skills, particularly Excel and PowerPoint.
•Expertise in financial modelling is desirable.
•Good communications skills, verbal and written, are necessary.
•Able to clearly present ideas and analysis to senior management.
•Good knowledge of derivatives products, financial mathematics and modelling is essential.
•Advanced systems skills including Excel/Access with VBA are beneficial.
•Highly team-oriented and eager to learn.
•Self-confident, assertive and willing to challenge FO on risk related matters and stand by negative decisions as and when appropriate.
•Solution provider and well organised as you might have to work on several project simultaneously.