Job Description

The role is an opportunity to lead risk coverage for fixed income investment strategies managed by the International Fixed Income team as an individual contributor with the potential for direct reports in the future. The director will often need to act autonomously in their role while also collaborating and communicating with the US-based Fixed Income Risk team and the broader Investment Risk team. An effective partnership with Global Technology associates is also needed to maintain and enhance infrastructure for portfolio risk oversight. In addition to risk oversight, the director will be involved in risk consultancy work for investment teams which may include special projects, deep dive risk analyses, supplementary stress testing, and tail risk analysis. A thorough understanding of investment strategies and markets will be important for success. The director also provides subject matter expertise and commentary in support of regulatory requirements managed by other teams in Investment Risk.

PRINCIPAL RESPONSIBILITIES

Day-to-day Risk Management Activities:

• Review and interpret fixed income risk analytics and dashboards. Identify, measure, monitor, and communicate key portfolios risks to portfolio management teams with a focus on identifying significant sources of risk (e.g., factors, securities, sectors, etc.) and material changes to portfolios’ risk profiles.
• Analyze tail risks and perform stress tests based on hypothetical and historical scenarios.
• Collaborate with fixed income investment staff to understand their strategies and risk taking in portfolios.

Extension of Risk Reporting & Tools:

• Prototype and develop risk reporting and tools to extend upon vendor risk platforms (primarily Bloomberg) for the identification and measurement of risks within and across fixed income portfolios.
• Activities will include the specification of data needed for inclusion in dashboards/reports and may involve the research and development of new methodologies and techniques.
• Development will include hands-on contributions and collaboration with associates in the Fixed Income and Global Technology divisions.
• Effective presentation and clear communication of analytical results will be needed to achieve buy-in from colleagues and adoption by Investment Risk’s stakeholders.

Communication with Internal & External Stakeholders:

• In addition to frequent contact with investment teams, the director will need to effectively communicate with many other stakeholders, including client-facing professionals, management, oversight committees, clients, consultants, and prospective clients, as appropriate.
• To be effective in these interactions, the director will need to demonstrate their strong grasp of technical details and their up-to-date knowledge of investment strategies and markets.
• The ability to verbally communicate complex topics in a clear, confident, and engaging manner is necessary to be successful in this role.
• The director will contribute to timely written responses to requests for fixed income risk information from clients, prospects, consultants, regulators, and internal teams.

Ad-hoc Analysis & Projects:

• Perform ad-hoc data and quantitative analyses in response to requests from fixed income portfolio managers and risk team members.
• Collaborate with team members and the Fixed Income quant team, as needed, to ensure methodologies are sound and best practices are followed.
• Reconcile results with other in-house findings before communicating them to investment teams.

Required Knowledge, Skills, and Abilities

• A passion for risk management and a demonstrated interest in financial markets through academic background, work experience and/or outside activities
• Bachelor’s degree in a quantitative or scientific field such as quantitative finance, statistics, applied mathematics, operations research, engineering, computer science, or physics
• Work experience with quantitative methods used to evaluate risk
• Fixed income and risk management experience in an asset management environment, including strong knowledge of international portfolio risks
• Programming skills with experience using common programming languages and statistical packages
• Experience using industry standard risk and performance attribution models such as Bloomberg’s GRM/TRM or PORT, Aladdin, Yield Book or similar
• Data analysis skills
• Strong interpersonal and communication skills
• High standards of work quality and integrity
• Strong organizational skills
• Self-starter with high motivation who enjoys collaborating
• Intellectually curious with a commitment to continuous learning
• Ten or more years of direct experience in fixed income risk management at a buy side asset manager
• Master’s or PhD degree in a quantitative or scientific field as listed above
• Programming skills in Python
• Completion or progress towards professional risk or finance accreditations such as CFA, FRM, and PRM
• Experience using Bloomberg’s GRM/TRM or PORT models for fixed income analysis, risk management, scenario analysis, and multifactor performance attribution
• Experience working for a global asset manager with key personnel located in other regions and offices
• Substantial experience in the asset management industry within a fixed income risk or investment department
• The ability to communicate effectively with the team and its stakeholders, including senior investment division management, portfolio managers, portfolio specialists, and credit analysts as well as clients, prospects, and consultants
• Strong knowledge of buy-side risk management, investments, and global financial markets
• Programming skills to process data and perform computations efficiently