US Head of Core Rates, EM and FX Market Risk Management

Full Time

Madison-Davis

EXTERNAL CLIENT ROLE

Overview:

You will be responsible for independent risk management oversight for a specific risk type (e.g. credit, market, liquidity, operational) and embedding the group’s risk management framework for that risk type within the business divisions and infrastructure functions. You will contribute to the setting of risk appetite for given risk type, and monitor against it. You will also independently assess risks for complex or significant transactions or other drivers/key controls, and provide challenge and advisory at a senior level. You will make decisions and approvals based on your allocated authority level, and are a point of escalation for disputed assessments or decisions.

What We Offer You:

· We offer competitive health and wellness benefits, empowering you to value life in and out of the office

· Retirement savings plans, parental leave, and other family-friendly programs

· An environment that encourages networking and collaboration across functions and businesses

· Active engagement with the local community through specialized employee groups

Your Key Responsibilities:

· Manage the team of front office facing market risk managers and operate as an influential member of both the US regional and global market risk management (MRM) teams

· Ensure adherence to the Bank-wide legal entity and regional market risk management frameworks across the banking and trading books of the core rates, emerging markets (EM) and foreign exchange (FX) businesses in the US and ensure all market risks are identified, assessed and documented, including rationale for assessment

· Manage and develop a framework for monitoring market risks, including emerging and cross risks. Ensure the monitoring of risk under both stress and unstressed market assumptions and manage and develop via aligned market risk analysis and control (MRAC) team, an appropriate market risk reporting framework, and work with MRAC and Front Office to ensure complete, accurate and timely reporting

· Develop and perform, in coordination with portfolio stress testing team as needed, stress tests to support capital planning, identification of material risks, and risk appetite/limit framework

· Understand business strategy and facilitate, advise, and challenge decision making in risk-taking including risk-reward trade-off and capital consumption

· Establish limits and thresholds to help ensure market risk exposures remain within the risk appetite established for that business by the group, region and/or legal entity; document rationale for limit and threshold framework including choice of metrics, structure of framework, choice of limits vs. thresholds and level of limit/threshold. Vigorously enforce limits, thresholds and risk appetite constraints

Your Skills and Experience:

· Extensive experience in the financial markets, substantial experience in market risk

· Deep expertise and experience in risk and pricing methodologies in the relevant asset-classes, including complex rates derivate products

· Excellent understanding of asset/derivative risk and/or valuation models – ability to understand their workings intuitively and be able to communicate with quants on model related issues; a broad understanding of risk disciplines and complex valuation techniques is highly valued

· Proficient in Excel, VBA programming and Bloomberg. Knowledge of Python and data analytics techniques a strong advantage

· Master of Science degree or above in Finance, Mathematics or Science/Engineering

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