In the New York area, one of the top American Investment banks is seeking a skilled Director of Market Risk to head up their Rates business line for North America. This role rolls up to the Global Head of Rates for the institution and would be responsible for leading a team focused on Market Risks associated with G10 Rates Trading business in all North America. This role would allow you to build an effective working relationship with the front office as well as colleagues across the trading floor.
Responsibilities will include evaluating Market Risks generated by G10 NAM Rates business. You'd be tasked with identifying top risks and working on/performing ad-hoc scenarios. This role requires strong communication with both the front office and trading desks. As part of your day-to-day, must review and validate assumptions in risk models while working in tandem with Financial Control, Price Verification, and Model Validation groups.
This position requires a Bachelors, Masters, or PhD degree. Familiarity with financial/statistical modeling, portfolio management (VaR, Stress-Testing), financial pricing models, and strong Excel skills are imperative. Subject matter expertise across rates products will also be required.
- Evaluate Market Risks generated by G10 NAM Rates business
- Identify top risks and work on/perform ad-hoc scenarios
- Communicate with trading desks and front office
- Ensure limits are appropriately set and monitored
- Review and validate assumptions in risk models
- Work in tandem with Financial Control, Price Verification, and Model Validation groups within the organization
- Identify and resolve any data issues
- Bachelors level degree, Masters or PhD
- Familiarity with financial or statistical modeling
- Quantitative level experience with rate products and associated risks
- Experience with portfolio management - VaR and Stress-Testing
- Excellent presentation and communication skills
- Strong experience with Excel including VBA, ideally experienced in using financial pricing models