Our client, a multi-billion Asset Manager, is seeking a Risk Manager specialized in Mortgages & Securitized Products Trading to join their Risk Management & Quantitative Research team. 

The team plays a vital role in the firm’s investment process, building a deeply rooted culture of efficient risk management and factful performance attribution. Risk managers will lead research efforts to identify opportunities for improved risk management, investment behavior, and portfolio construction, with the goal of helping the firm deliver superior risk-adjusted performance. The paramount mission of the team is to protect the firm from excessive levels of exposure and ensure that risk-taking is efficient and deliberate. 

THE RISK MANAGER WILL:

• Focus on the risk and activities of all Mortgage & Securitized Products Trading PMs as well as overall such risk across the Global Macro and Macro businesses. More specifically, this includes:
  • Identifying, capturing, and communicating material risks of the business, including credit, tail risk, liquidity, and convexity.
  • Ensuring that risk-taking at the individual portfolio level and at the firm level is efficient and deliberate, by setting appropriate risk guidelines and limits. 
  • Developing and advancing stress testing and VaR frameworks.
  • Developing and maintaining a framework for capital allocation to maximize risk-adjusted returns and profitability at the various business levels and at the firm level.
  • Actively managing the firm’s risk exposures through regular meetings, analysis and insights.
  • Leading research efforts to develop innovative risk management approaches, tools and analytics by leveraging the collective knowledge of the platform. The goal is to enhance the quality of performance and improve the firm’s risk-adjusted return.
  • Enhancing management’s understanding of investment performance by developing intuitive and efficient frameworks for performance attribution and educating all internal constituencies on those frameworks.
• Provide additional support with other risk managers in managing the market risk across the Macro business.
• Manage and mentor Quantitative Analysts on the team.

DESIRABLE CANDIDATES HAVE:

• Five or more years of experience as a risk manager or a portfolio manager, directly related to Mortgages and Securitized Products trading.
• Understanding of all securitized products including agency and non-agency products, CMBS, and related derivatives.
• Detailed understanding of risk management, portfolio construction, and trading.
• Undergraduate or higher degree in a quantitative discipline.
• Expert knowledge of quantitative finance and statistical programming with a strong familiarity of SQL and/or Python.
• High-energy and relentless personality with a desire to proactively ideate opportunities and the ability to manage multiple tasks and deadlines in a fast-paced environment.
• Ability to work cooperatively with all levels of staff.
• Excellent interpersonal skills and “emotional intelligence” – we seek a demonstrated ability to build relationships both internally and externally.
• Strong communications skills – an ability to clearly and concisely articulate complex ideas to senior management and portfolio managers is critical.
• A commitment to the highest ethical standards and to act with professionalism and integrity.