Market Risk Manager Interest Rates recruitment
The Risk Manager has a dual role in;
- Facilitating the expansion of the business
- Ensuring that expansion is achieved in a prudent manner.
They provide additional and independent information to the Business to enhance decision making whilst providing a control environment to satisfy the objectives set by the Regulators
They are responsible for making themselves aware of all the significant market risk positions and for performing quantitative and qualitative analysis.
They report these to both group market risk management and business.
The Risk Manager is responsible for ensuring that DVaR adequately captures the risk of positions taken. To this end, the Risk Manager shall work closely with Product Control, IT and Market Risk Engineering to ensure completeness of Risk Information and feeds.
Reporting from new system and monitoring of agreed Non-DVaR limits.
Provide advice to Time Series Team for the creation of new risk factors either through Data Sources or Proxies.
Identify possible weaknesses in the DvaR methodology through periodic testing of DVaR estimates against observed portfolio behaviour.
Monitor limit processes in the business area for which the risk manager is responsible, ensuring that the limit structure reflects the way the business is carried out and the limit excess approval procedures are followed.
Work with product control to enhance monthly price testing methodology/framework.
Continually evolve Stress Testing Framework to ensure that material risks are captured. Work with other Risk Managers to consider the implications of correlation.
Person Requirements
Qualifications /Education
- Bachelors Degree (Numeracy based)
Skills and Knowledge:
- Excel - Script Level (VBA)
- Bloomberg / Reuters usage
- Market Risk Experience Specific to IR
- Market risk awareness gained either through trading or risk management.
- Risk assessment (IR greeks - first and second order, basis risk, VaR)
- Time Series Management
Finance Professionals is part of Hydrogen Group.
