Fixed Income Market Risk Vice President/ SVP, Interest Rate - Corporate- Risk Mgmt.
The position is a market risk manager for interest rate products, primarily derivatives. The crux of the role is to understand and highlight key risks and to implement a market risk framework. Product scope includes dollar and non-dollar swaps, cross currency swaps, unmargined swaps, structured notes, governments and agency MBS.
Essential Duties & Responsibilities:
- Engage with trading desk to understand trading strategies and changes in risk profile.
- Communicate key risk changes, market activity and P/L drivers to senior management.
- Perform deep dive analyses on a products and/or trading strategies as warranted.
- Assess new products and propose frameworks for managing associated risks.
- Develop and implement appropriate stress scenarios.
- Implement risk management program for one of the firm's registered swap dealers.
- Actively participate in weekly risk meetings.
- Work with model validation and risk analytics to manage model risk and quantify risk appropriately.
- Commission key risk reports.
- Test/onboard new technologies as appropriate.
- Develop productive working relationships with other support functions, including Middle Office, Operations, Compliance, Technology, and Product Control.
- Assist the Independent Price Verification (IPV) team for certain assets.
- Excellent analytical and quantitative skills with strong attention to detail.
- Ability to communicate complex information clearly.
- Ability to multitask, work under pressure and prioritize tasks.
- Team player who is also a resourceful self-starter.
- Bachelor's or Master's degree in Statistics, Mathematics, Computer Science, Financial Engineering or Engineering.
- 7+ years of experience with interest rate derivatives.
- Familiarity with Murex, Bloomberg MARS, Intex.
- Proficiency in Excel, PowerPoint, VBA programming and SQL database queries