Global investment bank seeks Senior VP level Market risk Officer to cover G10 Rates Non-Linear Trading business.
The G10 Rates and FX team within the Market Risk Management group is responsible for the oversight of these businesses. This role is for an experienced risk manager, to join an existing team focused on managing the market risks associated with the European Non-Linear Rates Trading business.
The European Rates Trading business is a significant business providing interest rate market-making and solutions to customers as part of the Global G10 Rates franchise.
The successful candidate must be able to build highly effective relationships with front office and other groups as well as risk colleagues, confidently challenge assumptions, be comfortable with quantitatively complex issues, willing to work at the detailed level and be a producer of high quality and insightful output.
It is vital that the candidate should have a very good technical knowledge of interest rate products as well as market risk approaches.
Over time there may be scope for the candidate to extend their remit to periodically lead or be involved in more global projects within the whole Risk organisation.
- Be accountable for the identification and evaluation of market risks generated by the EU Rates non-linear business. Identification of 'top risks' and outlier stress events, performing ad-hoc scenarios.
- Communication with trading desks at a senior level, challenging assumptions and risk taking as appropriate as well as collegiately working towards solutions for improved risk management.
- Candidate must be very comfortable discussing non-linear rate products and their risks and building tools to analyse portfolio risks and individual trades.
- Working to ensure that the reported risks are correct; leading resolution of any technology issues.
- Ensuring limits are properly set with respect to risk taking and risk appetite. Contribute to the development or production of metrics used to satisfy regulatory requirements and stress testing processes.
- Periodic preparation of presentation materials for senior management or for internal discussions. Ability to speak as needed on market events.
- Review and validate assumptions in pricing models used by underlying business unit(s) and analyse the impact of model changes.
- Work closely with Financial Control, Price Verification and the Model Validation groups within the organization to ensure that the proper controls are in place.
- Review of new business proposals including risk limits setting and monitoring and ensuring risks can be fully captured within the firm's systems.
- Interfacing with regulators and audit functions.
- Supervise and develop the existing team.
Knowledge, skills & experience required:
- Solid relevant experience in the rates markets with good quantitative knowledge of the markets, products, models and risk. Deep level of experience with rate option products and their risks is vital.
- Experience with portfolio risk measurement techniques including VAR and stress testing.
- Strong relationship management and liaison with business people of all levels. But must be willing to challenge as needed, particularly front office.
- Must be dedicated to information integrity and to producing high quality and insightful output and hitting deadlines where applicable. Must be prepared to go into as much detail as is required to resolve issues. Must be capable of working very productively using time very efficiently.
- Good presentation and communication skills.
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.