Senior Fixed Income Risk Manager
- Identify, evaluate and manage the risks of trading strategies across multiple asset classes with a strong focus on fixed income and FX
- Work to ensure that the reported risks are correct and properly measured
- Monitor intraday and overnight market risks
- Communicate with portfolio managers, challenging assumptions and appropriate levels of risk as well as work collegially towards solutions for improved risk management.
- Review and validate assumptions in pricing models and analyze the impact of model changes.
- Candidate will also be expected to be proactive in the development of risk tools by working with the technology team.
- Contribute to the development of metrics used for risk factor identification and stress-testing process
Capstone are looking to appoint a Senior Fixed Income Risk Manager to play a critical role in our mission to build a world-class risk platform to drive understanding and empower decisions on Risk, Performance, Margin and Capital Allocation.
You will report the Chief Risk Officer (CRO) and provide key analysis and analytics to the Risk Team, Investment Committee, and the Trading Desks. The ideal candidate would have exceptional fixed income product and risk knowledge covering Pricing, Greeks, Scenarios and VAR. To be effective in this role you will be required to interact closely with the Fixed Income Trading desks and the various business functions: Technology, Treasury, and Investor Relations. The role offers great exposure to the many and varied aspects of a hedge fund, and you will be expected to be a great communicator, a strong team player, an open-minded collaborator and able to bring your own and others innovative ideas to life. This is an excellent opportunity for a highly motivated individual with a passion for risk management and technology to join a leading hedge fund and work with a team of experienced professionals in a dynamic environment.
- Identify, evaluate, and manage the risks across multiple trading desks with a strong focus on Fixed Income and FX
- Help develop the risk modelling, pricing, and analytics suite to enable effective decision making by Risk, Portfolio Managers, and the Investment Committee
- Design risk analytics and scenarios to provide insight and aggregation of exposures across desks and funds.
- Develop innovative performance analytics to enable effective tracking of performance, alpha and benchmarks
- Closely follow global markets & macro events and communicate associations to PNL & performance
- Develop and monitor the Risk Limit framework & Reporting for each trading desk
- Proactively explore and develop new tools & approaches to understanding the risk exposures across books and asset classes
- Work closely with the Risk Technology team to ensure systems are automated, efficient, and accurate
- 7 – 15 years of relevant applied experience with options & derivatives to be able to add tangible value in expanding our current approaches
- Strong understanding of Option Pricing, Greeks, VaR and Scenario Analysis
- Understanding of PNL drivers of trading books and an ability to communicate and explain the performance
- Good listening skills and an ability to flex style to communicate articulately, concisely and with conviction to a wide range of stakeholders
- High levels of motivation and continually seeking to improve the performance of self and supportive of others to perform
- A collaborative team player, systematic, rigorous with an exceptionally high attention to detail
- Analytical, innovative, and curious about with and extrapolating meaning from data
- Good Python (or similar) programming skills
- Good SQL and data visualization skills desirable
BASE SALARY RANGE
$180,000 – $200,000 USD (depending on experience)