Director, Fixed Income & Macro Risk Manager
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The Fixed Income & Macro Risk Manager will report to the Co-Head, Fixed Income & Macro Risk Management and work collaboratively with a team of expert risk professionals, quants and portfolio managers to both risk-manage and grow the business.
The Fixed Income & Macro Risk Manager will:
• Calibrate and manage risk guidelines for multiple portfolio teams.
• Have recurring discussions on risk and performance with portfolio managers to understand and analyze their portfolio risk
• Work with portfolio managers on discrepancies in measured risk or addressing risk that falls outside of policy guidelines.
• Perform detailed trade-level risk analysis for both new and existing positions. Strategies and asset classes include interest rates, foreign exchange equities, credit and some commodities (vanilla and derivative instruments).
• Perform top-down risk assessments of the macro business including accounting for exposures, VaR and stress testing.
• Communicate analysis and recommendations clearly through face-to-face meetings and presentations.
• Present the aggregate risk of the business in a coherent and concise fashion to senior members of the risk and management teams.
• Maintain a detailed view of the current risk environment, risk events and how they could impact positions.
• Perform detailed construction of event risk scenarios.
• Perform detailed assessment of P&L explained, both on an intraday and historical basis.
• Create analyses and reports used by team members and members of portfolio teams.
• Innovative research relating to the firm's risk policy, risk allocation and portfolio guidelines.
To be considered a good fit, you must have:
• Deep experience in trading, sales, quant, structuring or market risk role at either a sell-side or buy-side firm. Hedge fund experience is preferred.
• Strong knowledge of and experience in fixed income derivatives and preferably also equity and FX.
• Significant options experience is a plus.
• Passion about and knowledge of Macro investment strategies.
• Programming ability in Python or computer science background with ability to learn Python.
Experience working with SQL relational databases
• Strong academic background with a degree in a math focused discipline.
• Ability to collaborate and work across global offices and teams.
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