Job Description: 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
Internal Number: 5853272
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