Rates Market Risk Manager (VP / Director), Copenhagen

  • €€ Excellent + Benefits, etc
  • London, England, United Kingdom
  • Permanent, Full time
  • Millar Associates
  • 28 Sep 16

This top-tier Investment Bank seeks to expand its Market Risk in Copenhagen with the hire of a Market Risk Manager to provide a leading role in their Market Risk Team. With responsibility for providing independent Rates Market Risk analysis and reporting, you will need 4 to 8 years’ experience’ of Bond and Rates risk management. This is a unique opportunity in the Nordic region to risk manage the trading of complex financial instruments, (Bond trading and Complex trades) and play a key role in the development of the risk management framework for their growing Rates & FX trading business.

KEY RESPONSIBILITIES:

  • Understand strategies for specific trading areas, underlying positions, risk and P&L drivers across 4 areas & 10 Desks
  • Review the market risks of Interest Rate, portfolios & individual trades for both flow Bond trading and complex Rates options trades, Inflation, Repos & FX Forwards
  • Analyse P&L attribution, back-test results to monitor/assess validity of VaR, CVaR measures
  • Approve new products, implement new risk measures/improve existing measures
  • Developing product specific stress tests and tools to analyse the specific risks of the portfolios
  • Engage traders, desk heads and senior management on market risk related matters including P&L drivers, and changes in risk profile.  

ESSENTIAL SKILLS & EXPERIENCE:

  • 4-8 years’ experience in Market Risk analysis
  • Strong product knowledge of Derivatives for Fixed Income / FX products
    In depth knowledge of Stress Testing and VaR analysis
  • Experience building tools to analyse financial products & data using, e.g. Excel/VBA & SQL
  • Succinctly communicate complex information
  • Advanced degree (MSc/PhD) in finance, maths, or hard science from a top institution