The successful candidate must be able to build effective relationships with front office and other groups as well as risk colleagues, challenge assumptions, be comfortable with quantitatively complex issues, willing to work at the detailed level and be a producer of high quality and insightful output.
- Candidate must be very comfortable discussing linear products (bonds, swaps, cross currency swaps) and their risks and building spreadsheets to analyse risk and market data, portfolio risks and individual trades.
- Working with others to ensure that the reported exposures are correct and cover the main drivers of risk and potential p/l; identification and resolution of any data issues.
- Ensuring limits are properly set and monitored accurately. Contribute to the development or production of metrics used to satisfy regulatory requirements and stress testing processes.
- Periodic preparation of presentation materials for senior management or for internal discussions. Ability to speak as needed on market events.
- Work with existing team members to be accountable for the identification and evaluation of market risks generated by the EMEA Linear Rates business. Identification of ‘top risks’ and outlier stress events. Working on and performing ad-hoc scenarios.
- Communication with trading desks.
- Review and validate assumptions in accrual risk models used by underlying business unit(s) and analyse the impact of model changes.
- Work closely with Financial Control, Price Verification and the Model Validation groups within the organization to ensure that the proper controls are in place.
- Strong relationship management and liaison with business people of all levels. But must be willing to challenge as needed, particularly front office.
- Must be dedicated to information integrity and to producing high quality and insightful output and hitting deadlines where applicable. Must be prepared to go into as much detail as is required to resolve issues. Must be capable of working very productively using time very efficiently.
- Extensive years of relevant experience in the rates markets with good knowledge of the markets, products and risk with a particular focus on linear rates products and curve construction. Good quantitative level of experience with rate products and their risks.
- Experience with portfolio risk measurement techniques including VAR and stress testing.
- Good presentation and communication skills.
- At least Bachelor level degree, Masters or PhD can be useful. Familiarity with financial or statistical modelling is beneficial.
- Strong experience and facility with Excel including VBA and add-in functions, ideally with experience of using financial pricing functions.
- Python and/or Business Intelligence experience not required, but useful.
Vacancy Type: Full Time
Job Location: London, England, United Kingdom
Application Deadline: N/A