A leading international bank is looking to hire a VP level market risk manager to cover their agency MBS and ABS desk. This role will report directly to the Head of Market Risk, and you will have full market risk ownership of agency MBS and ABS trading.
In this role, you will be joining a relatively lean team of 8 market risk professionals focusing on different trading desks; you will be the only VP covering MBS ABS Trading with a couple of Associates giving additional support. For this role the ideal candidate will have 5+ years of experience, strong communication skills, experience with SQL and Excel and strong knowledge of agency products from a market risk perspective.
Responsibilities:
- Provide market risk management advisory for agency MBS and ABS trading
- Provide analysis on risk metrics and VAR
- Manage relationships with trading teams and provide advisory for hedging strategies
- Contribute to risk business and stress testing scenarios
- Calibrate limits for new products in the pipeline
Qualifications:
- 6+ years of experience in risk or trading functions
- Strong written and verbal communication skills
- Strong knowledge of MBS pricing models
- An advanced analytical mindset