Senior Market Risk Specialist – Interest Rate Volatility, Structured Notes

Role Overview

• Utilize market risk measures such as Value-at-Risk (VaR), stress scenarios and risk factor sensitivities to monitor, report and constrain market risk exposures originating from the market-making activities of the Interest Rates Vol Trading business as well as Structured Solutions and Structured Notes businesses.
• Collaborate with CMRG management, Macro Market Risk Oversight and Rates Vol and Structured Notes team members to maintain an effective and comprehensive market risk mandate.
• Maintain and enhance market risk reporting routines to effectively communicate risk concentrations, market risk limit usage and sources of trading profit/loss.
• Engage with Front Office team members and CIB business partners to ensure sufficient market risk support for new business initiatives.
• Analyze complex models and products to ensure comprehensive market risk capture, consistent with the market risk mandate and higher-level risk management policies.
• Participate in recurring regulatory and risk management engagements such as CCAR, stress scenario design and Volcker metric review.

Requirements

• 4+ years of experience in one or a combination of the following: trading, desk analyst, Capital Markets, market risk, interest rate risk or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
• Experience working with a broad range of capital markets business partners including trading, quantitative partners, finance, operations, and technology to complete shared business objectives, with demonstrated ability to provide risk insights and challenge effectively.
• Ability to work independently, meet deadlines, and operate effectively in a dynamic, fast-paced, and data-driven environment, including managing daily risk monitoring and reporting responsibilities.
• Strong understanding of derivative pricing models and risk measurement calculations such as Value-at-Risk (VaR), stress scenarios, and risk factor sensitivities, along with hands-on experience in risk monitoring, reporting, and analysis (e.g., daily VaR reporting, sensitivities, stress testing, and identifying risk concentrations and P&L drivers).
• Experience supporting risk governance and oversight activities, including monitoring risk exposures, desk limits, and limit utilization, and contributing to risk framework adherence and escalation processes.
• Exposure to stress testing and scenario analysis, including designing or running stress scenarios and contributing to regulatory or enterprise risk exercises (e.g., CCAR).
• Familiarity with model monitoring, model validation, or quantitative analysis, including reviewing model performance, understanding assumptions, and adapting to changing market conditions.
• Advanced Microsoft Office Skills (Excel VBA)
• Proficiency in Microsoft SQL
• Strong analytical and quantitative skills with high attention to detail
• Strong spoken and written communication skills, including the ability to translate complex risk and market concepts into clear insights
• Financial Risk Management Certificate (FRM) preferred
• Chartered Financial Analyst (CFA) preferred
• Bachelor’s or advanced degree in a quantitative discipline or demonstrated quantitative rigor through academic or professional experience (e.g., Finance, Financial Engineering, Quantitative Finance, Mathematics, Physics, or related fields)

Tech Stack

• SQL
• VBA

Benefits

• Health benefits
• 401(k) Plan
• Paid time off
• Disability benefits
• Life insurance, critical illness insurance, and accident insurance
• Parental leave
• Critical caregiving leave
• Discounts and savings
• Commuter benefits
• Tuition reimbursement
• Scholarships for dependent children
• Adoption reimbursement