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Market Risk Manager, Associate/Vice President
Finance & Investment Industry Company
New York, NY, United States
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Job Summary & Responsibilities
YOUR IMPACT
Are you a high performing risk professional looking for an opportunity to join a world class financial institution? We are looking for a professional to join the Market Risk and Capital Analysis (MRCA) group to help build out and meet our supervisory responsibilities with regards to Interest Rate Risk in the Banking Book.
OUR IMPACT
MRCA is part of the risk management department and helps manage the firm’s market risk and capital. Joining the MRCA team will give you the opportunity to focus on Interest Rate Risk in the Banking Book, a significant and growing area for the firm covering a range of products and businesses. You will work closely with colleagues around the globe on tasks and projects that contribute directly to the firm’s success. This role is ideal for collaborative individuals who enjoy being challenged, have strong ethics and attention to detail.
RESPONIBILITIES
• Understand and help develop analytical capabilities to measure, monitor and manage the Firm’s interest rate risk in the banking book (IRRBB), for short-term and long-term interest rate risk metrics
• Participate in the firms supervisory responsibilities for IRRBB:
Develop interest rate risk reporting capabilities for senior management, committees and regulators
Develop and maintain important internal and external relationships
Interest rate risk appetite and limit approval
Limit monitoring and limit breach escalation
• Ad-hoc analysis to inform interest rate risk mitigation strategies
Analyze metrics across business units under varying balance sheet and interest rate scenarios to evaluate IRR trends and sensitivities & perform risk attribution analysis
Develop capabilities for sensitivity testing of key methodological assumptions on a periodic basis
• Assist with documentation of assumptions, methodologies and processes required for the Firm’s IRRBB initiative
• Develop policies required to effectively govern interest rate risk in the banking book, which address regulatory requirements and the Firm’s interest rate risk management priorities
SKILLS AND EXPERIENCE
• Prior experience working on interest rate risk in the banking book, particularly on working with and understanding methodologies to measure short term (Economic Value of Equity) and long term (Net Interest Income) interest rate risk
• Familiar with the fundamental concepts of fixed income maths, interest rates, derivatives and asset-liability management
• Experience in a Market Risk, Trading or Treasury role
• Graduate or Masters with a quantitative background
• Proven problem solving ability and control mentality
• Ability to collaborate with people from different departments and levels of seniority
• Desire & ability to communicate complex information directly with senior management both verbally and in writing
• Self-motivated team player
• Experience with ALM software, such as QRM, preferred but not required