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Associate Director, Structured Rates

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Salary £100k
Type Permanent
Location London
Sector Credit & Risk Management
Job Reference T55/AXC/27751
Contact Aaron Crowley
Date posted 08-01-2018

International Bank seeking an Associate Director, Structured Rates to join their London Office

Key Responsibilities
• Lead a new highly technical team by setting direction, driving change, and generating new ideas while still being able to master the technical details of risk and the code which generates the risk
• Help develop a new and improved risk framework for the Structured Interest Rate business
• Analyze interest rate exotic risk profiles and convexities
• Lead the market risk reporting processes and ensure timely and accurate reporting of all relevant risk metrics by the team
• On request help provide ad-hoc analysis on trading strategies and products to ensure they are in line with the firm’s risk tolerance and objectives.
• Help with automating daily risk monitoring tasks using combination of VBA/SQL/Pearl/Python programming language
• Developing quantitative analytics tools for use by Market Risk
• Production and analysis of daily risk, stress, and convexity changes
• Longer term analysis of developing risk/product trends
• Deep understanding (PnL, risk, reserves, business model, operational issues) as Second Line of defense for the Structured Rates trading business

Skills/ Experience required
• MSc, PhD, or equivalent in Mathematics/Statistics, Mathematical Finance or Financial Engineering
• Strong leadership skills and vision; proven record of leading a team/project and delivering value-added results
• Advanced knowledge of interest rate derivative markets and products
• Experience working on a risk/trading desk at a financial company/institution in a quantitative or programming role preferred
• Strong knowledge of:
o Value-at-Risk measurement
o Stress testing and scenario analysis
o Greeks Sensitivity analysis
• Proficient in VBA/C++/Python/SQL
• Fluent in English

For applications or enquiries, email Aaron.Crowley@BRUINFinancial.com

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Director, Credit & Risk Management