VP, US Rates – RMBS Market Risk Manager

Full Time

International Investment Banking Client

Office Status: Hybrid

Responsibilities:

  • Developing, implementing, and maintaining risk control framework for the Bank’s re-entry into the Agency RMBS business
  • Daily monitoring of risk, stress, and Value-at-Risk (VaR) exposures, ensuring risk completeness and accuracy (for example by monitoring closely and understanding the P&L drivers every day)
  • Developing and implementing new stress testing analyses to better quantify the different basis risks that the desk runs
  • Keeping abreast of latest news and possible implications to the markets and the positions that the desk runs
  • Ensuring internal and external governance policies are being effectively applied
  • Liaising with trading desks with respect to exposures, new business, and market activity and driving risk management infrastructure development
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