Director, Fixed Income & Macro Risk Manager
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:
· 12+ years of 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.
· Strong academic background with a degree in a math focused discipline.
· Ability to collaborate and work across global offices and teams.
With respect to NY, CA, and IL based applicants, the starting base pay range for this role is between $225000 and $275000 annually. The actual base pay is dependent upon several factors, including, but not limited to, relevant experience, business needs and market demands. This role may also be eligible for bonus compensation and employee benefits.
