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Overview 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, located in Greenwich St, NYC to lead an existing team focused on managing the market risks associated with the North America Rates Trading business. The North America 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 to expand to cover other aspects of the NA business within Global Rates & FX and it would be expected that candidates in this role will in time extend their remit to periodically lead or be involved in more global projects within the whole Risk organization. Main Activities
Be accountable for the identification and evaluation of market risks generated by the NA Rates 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 products and their risks and building tools to analyse risk and market data, 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.
Key experience and skills required
10yrs+ of relevant experience in the rates markets with good quantitative knowledge of the markets, products, models and risk. Deep level of experience with rate 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.
Internal Number: 5208490
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