Quantitative Market Risk Manager

4 weeks ago


London, United Kingdom eFinancialCareers Full time

**The Market Risk Manager will perform the following Duties;**
- The risk manager will be responsible for identification of key markets related risk issues for London activity setting market risk limits, reviewing new products, assisting with key regulatory initiatives, managing the development of key risk system infrastructureand communication/elevation of key issues in order to maintain credit markets risk management of the highest possible standards.
- Demonstrate outstanding leadership and management skills with respect to direct reports, as well as MRM and Fixed Income markets focused personnel in other support areas.
- Establish a very strong partnership with front office business management, credit risk management, capital management, regulatory finance, the quantitative model review group & IT whilst maintaining the ability to question and contest as necessary.
- Management of the annual market risk limit review for Fixed Income business lines
- Oversight / delivery of stressed VaR for Fixed Income business lines
- Provision of market risk management information to senior management as necessary to enable decision making with regards to positions
- Provide management with expert advice on market risk and VaR related regulatory charges and controls
- Implementation of systems strategy to ensure that the market risk function is able to effectively and efficiently perform its core functions.
- Reviewing new products and structures to identify all material market risks and ensuring effective controls surround these to ensure appropriate risk management occurs during their life cycle
- Development of stress testing scenarios, reverse stress testing and the stress testing platform
- Oversight of the market risk monitoring processes with respect to market conditions, regardless of whether close or in excess of limits, and escalation of any identified inappropriate activity to senior management.
- Oversight/ delivery of FRTB for Fixed Income business lines
- Demonstrate compliance with all relevant internal and external rules, regulations.

**The Market Risk Manager will have the following expeirence**;
- 8-10 years+experience in either Market Risk or Trading
- Very strong technical understanding of market risk calculation and aggregation
- Preferably hold an international financial/risk accreditation e.g. CFA, FRM, PRM
- Strong quantitative and/or business related university qualification
- Solid experience in Market Risk Management and / or Fixed Income Trading
- Outstanding in depth knowledge of Rates and/or Credit markets and products,
- Outstanding communication and interpersonal skills
- Strong quantitative skills i.e. derivative pricing, VaR methods, market data analysis
- Strong technical skills (VBA, SQL, Matlab, C++ etc)
- Fixed Income markets savvy
- Ability to understand and interpret complex business requirements
- Ability to prioritize competing demands
- Negotiation and conflict resolution capacity



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