Structured Rates Market Risk Manager AVP

Sparks Careers Morgan McKinley
London (Greater)
11 Jan 2018
09 Feb 2018
Contract Type
Full Time
The division provides independent and effective on-site monitoring, controlling and reporting on the nature and extent of all material market risk and to ensure the implementation of and compliance with risk management policies and procedures. The incumbent will help promote a Best of Class risk oversight environment for London Structured Derivatives focusing on the Structured Interest Rate business (interest rate exotic products).

What will you do?

* Help develop a new and improved risk framework for the Structured Interest Rate business
* Analyze interest rate exotic risk profiles and convexities
* Run the market risk reporting processes and ensure timely and accurate reporting of all relevant risk metrics.
* On request help provide ad-hoc analysis on trading strategies and products to ensure they are in line with risk tolerance and objectives.
* Clearly communicate new business activity, evolving risk dynamics, and major market developments to senior management
* Work with trading to ensure adherence to bank risk appetite, including limits and compliance with limit framework.
* Assist in the transition of risk reports to new technological platforms; on request help prepare ad-hoc analysis for senior management.
* Automating daily risk monitoring tasks using a combination of VBA/SQL/Pearl/Python programming language.
* Developing quantitative analytics tools for use by Market Risk

Key skills

* MSc in Mathematical Finance of Financial Engineering/Bachelors in Mathematics/Statistics
* Strong communicator and people-skills
* Advanced knowledge of interest rates derivative markets and products
* Some experience working on a risk/trading desk at a financial company/institution in a quantitative or programming role
* Some work experience in a market risk function or similar, with ideally basic knowledge of:

* Value-at-Risk measurement
* Stress testing and scenario analysis
* Sensitivity analysis

* Proficient in VBA/C++/Python/SQL


Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.
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