Market Risk Manager – Rates & FX Derivatives

Mizuho Americas Services LLC in; New York (NY); Hybrid; USD 170,000 - 235,000; Full time

Job summary

An established industry player is seeking a seasoned Market Risk Manager to oversee a multi-asset derivatives business. In this pivotal role, you will collaborate with traders to analyze and explain changes in risk metrics, including VaR and stress tests. Your expertise will drive improvements in analytics and support the deployment of new products. This dynamic position requires a strong quantitative background and the ability to thrive under pressure in a fast-paced trading environment. Join a forward-thinking company that values your contributions and offers a competitive salary and benefits package.

Qualifications

• 8+ years of experience in market risk management required.
• Proven experience in Rates and FX derivatives required.

Responsibilities

• Explain changes in daily VaR, SVaR, and FRTB charges.
• Work closely with traders to address limit excesses.

Skills

Market Risk Management

Rates Derivatives

FX Derivatives

Quantitative Analysis

Analytical Skills

Education

Master's Degree in a Quantitative Field

Job description

Market Risk Manager – Rates & FX Derivatives (Finance)

Summary

As an experienced Risk Manager, you will be responsible for overseeing a multi-asset derivatives business: working with trading to understand and explain changes in VaR, stress tests, and limit usage; working with all functions to deploy new products and improve analytics around current product coverage.

Responsibilities

• Responsible for explaining changes in daily VaR, SVaR, FRTB charges, as well as changes in risk sensitivities, for trading and banking activities.
• Work closely with traders covering Rates, FX, and XVA to address limit excesses, quantification of usage, as well as risk appetite concerns.
• Produce commentary detailing market changes and changes to portfolio for senior management, regulators, and auditors.
• Provide ad-hoc analyses as necessary, including correlation analyses, time-series analysis, and XVA related analyses.
• Work on projects to ensure market risk system functionality in support of new products.

Qualifications

• 8+ years of experience in market risk management required.
• Proven experience in Rates and FX derivatives required. XVA experience preferred. Experience in analyzing non linear risks.
• Demonstrable quantitative and analytical skills.
• Master's degree in a quantitative field.
• Strong attention to detail, self-learner, can develop creative solutions to new problems.
• Ability to work under pressure with tight time schedules in a trading desk environment.

The expected base salary ranges from $170,000 - $235,000. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications and licenses obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, successful candidates are eligible to receive a discretionary bonus.

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