Rates Risk Manager recruitment

Main Duties

The Risk Manager is required to monitor all positions and strategies of the structured Fixed Income Trading desk. They should be able to understand the motivation of existing trades. They should be in a position to follow the dynamics of the market and understand the motivation behind the positions taken and be able to articulate them in a clear and concise way. The Risk Manager shall be expected to be able to communicate the drivers behind daily PL.

They should be able to run all daily risk reports and report to the senior risk management all the relevant risk exposures.

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

Skills and Knowledge:

Candidate Profile: