Market Risk Manager – Rates & FX Derivatives (Finance)

Summary

As an experienced Risk Manager, you will be responsible for overseeing a multi-asset derivatives business: working with trading to understand and explain changes in VaR, stress tests, and limit usage; working with all functions to deploy new products and improve analytics around current product coverage.

Responsibilities

• Responsible for explaining changes in daily VaR, SVaR, FRTB charges, as well as changes in risk sensitivities, for trading and banking activities.
• Work closely with traders covering Rates, FX, and XVA to address limit excesses, quantification of usage, as well as risk appetite concerns.
• Produce commentary detailing market changes and changes to portfolio for senior management, regulators, and auditors.
• Provide ad-hoc analyses as necessary, including correlation analyses, time-series analysis, and XVA related analyses.
• Work on projects to ensure market risk system functionality in support of new products.

Qualifications

• 8+ years of experience in market risk management required.
• Proven experience in Rates and FX derivatives required. XVA experience preferred. Experience in analyzing non linear risks.
• Demonstrable quantitative and analytical skills.
• Master's degree in a quantitative field.
• Strong attention to detail, self-learner, can develop creative solutions to new problems.
• Ability to work under pressure with tight time schedules in a trading desk environment.

The expected base salary ranges from $170,000 - $235,000. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications and licenses obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, successful candidates are eligible to receive a discretionary bonus.

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