AVP, Trading Risk Specialist – Interest Rate & FX Derivatives

Full Time

Madison-Davis Client


Treasury Markets Investments is a fast paced, dynamic function that connects Corporate Treasury to the Capital Markets; we partner with businesses across the franchise and infrastructure functions to provide funding and risk management services and expertise. You will drive the organization forward through active risk management, subject matter expertise on industry topics and a deep knowledge of markets, exhibiting a high degree of professionalism to partner with many areas of the Bank. You will be responsible for managing interest rate risk using derivatives and asset & liability management (ALM) funding structure strategies. As part of this mandate – you will focus on developing hedging strategies that benefit the Bank commercially (P&L) and meet the rigorous standards/limits set forth by our partners in risk functions. You will provide expertise and thought leadership on the IBOR transition and how that impacts risk management and funds transfer pricing and will assist in the build out of new risk monitoring and pricing infrastructure.

Job Duties:

  • Manage interest rate risk for US legal entities
  • Own the infrastructure build out for risk management reporting/pricing
  • Provide subject matter expertise on the IBOR transition
  • Develop/enhance a framework for active market monitoring and reporting

Skills and Experience:

  • Familiarity with the fixed income capital markets
  • In-depth knowledge of interest rate risk management
  • Experience trading derivatives and knowledge of interest rate swap settlement conventions and clearing requirements
  • Past Exposure to ALM
  • Knowledge of Python a plus
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