Structured Rates Market risk Manager - AD Structured Rates Market risk Manager - AD …

Morgan McKinley
in London, United Kingdom
Permanent, Full time
Last application, 27 Nov 21
Competitive
Morgan McKinley
in London, United Kingdom
Permanent, Full time
Last application, 27 Nov 21
Competitive
Structured Rates Market risk Manager - AD
Job Summary
  • London
  • Permanent
  • BBBH799572
  • Nov 19, 2021
  • Competitive

Job Description
Global investment bank seeks am AD level Market Risk Manager as part of its expanding Structured Rates market risk division.

We are looking for someone with strong mathematical/analytic skills and technical derivatives knowledge, who can thrive in a fast-paced, high pressure environment. The incumbent will help promote a "Best of Class" risk oversight environment for the London, Tokyo, and Global Structured Interest Rate (SRT) business (interest rate exotic products).

The candidate will have hands-on experience in managing interest rate exotic risks, in order to assist the Business in helping analyse the risk and model framework for the SRT trading books and products. Additionally, the role requires a high level of technical expertise (across both interest rate models and IT systems) , as they will also be in-charge of running model parameter deep-dives, implementing scenarios for SRT, coding and building better Limits/Stress framework, and working closely with Group Risk Analytics, Risk IT, and N.America to ensure consistency across the platform

Risk Oversight and Analytics
  • Owns and further enhances the daily scenario framework that GRM actively uses to assess both positioning and structural risks in the SRT books. Actively communicates emerging trends/risks and facilitates discussions with trading desk and senior management.

The candidate will be responsible for all SRT's risk system related development work within the GRM domain for the SRT books. This will require close collaboration and direction-setting in partnership with Risk-IT and Group Risk Analytic teams, as well as other relevant GRM desks
  • Ensure all relevant risk metrics are monitored through the current reporting process

Ensure all limit breaches are correctly tracked and reported
  • Assist in the transition of risk reports to new technology platforms, including a new standardized front-office platform and working with Risk IT to plan for reporting/system migrations.
  • On request: help prepare ad-hoc analysis of evolving risks, new structured deals, and forecasting of market trends for senior management.

Key skills
  • / PhD or equivalent in Mathematics/Statistics, Physics, Engineering or Mathematical Finance
  • Strong leadership skills and vision ; proven record of leading a team/project and delivering value-added results
  • In-depth knowledge of interest rate option markets and primary risk drivers of those markets/products
  • Hands-on experience working on a risk/trading desk at a financial company in a quantitative/programming role
  • In-depth knowledge of:
    • Value-at-Risk measurement
    • Stress testing and scenario analysis
    • Greeks Sensitivity analysis specific to the SRT/interest-rate-exotic business
  • Proficient in VBA/Python/C++
  • Excellent written and oral communication skills and is able to articulate ideas, thought processes, and recommendations confidently and rationally to senior audiences

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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