LIBOR Transition – Traded Risk Manager

New York City
Posted 4 months ago
 LIBOR Transition – Traded Risk Manager – consultant – midtown NYC

Traded Risk Management team is looking to hire a risk manager to lead the review and implementation of the new reference rate “IBOR” across multiple currencies and asset classes. Traded Risk Management team is part of the Wholesale Credit & Market Risk team and responsible to independently identify, control and report market and credit risks that the bank incurs. IBOR Transition Risk Manager will be reporting to the Head of Traded Risk Management team.



·         Engage the business to facilitate the rollover of “IBOR” rates across multiple asset classes (cash and derivatives). Assess senior business management risk appetites and translate into a risk governance framework for trading desks.

·         Participate on all forums or committees related to the “IBOR” transition. Manager responsible for the roll out for US and Canada sites.

·         Analyze the “IBOR” risk profile as a function of both market and credit risk factors and verify consistency between p&l and observed market moves and to anticipate future profile evolution. Includes sensitivity analysis; stress scenario design and testing; model risk evaluation; market risk capital allocation; and credit risk exposures.

·         Perform ad-hoc analysis in various aspects of risk measurements, stress tests, what-if analysis on the existing portfolios during the “IBOR” transition.

·         Perform extensive analysis on products referencing “IBOR” from the perspective of capturing the risks and establishing monitoring framework against existing risk appetite.

·         Work closely with the Business, IT, “Change the Bank” and Run the Bank” teams, influencing the decision making and ensuring that product roll out is performed accurately and on timely matter. Meet all regulatory deadlines.

·         Review “IBOR” various risk sensitivities relative to risk limits and VaR.

·         Work closely with the Traded Risk model development and model review teams on the design, impact calculation and implementation of new “IBOR” models.



  • Bachelor’s or Master’s degree in finance, economics, engineering or another numerical discipline.
  • Traded Risk experience including Market Risk and Traded Credit Risk.
  • In depth knowledge of market and credit products. Detailed understanding of a major bank balance sheet and operating framework.
  • 5+ years of experience in a risk function at a major financial institution, preferably with a focus in fixed income, equities, FX and/or commodities markets.
  • Strong understanding of underlying models used in the valuation and precification of risk. Experience in coordinating the review and implementation of new products across trading and risk systems.
  • Excellent communication skills with the ability to explain technical topics clearly and intuitively.
  • Strong analytical skills and the ability to apply quantitative techniques to solve practical problems
  • Team-orientated, while pro-active and self-motivated with ability to complete tasks independently
  • Good at handling a diverse workload of longer-term projects and short terms asks
  • Trading System Knowledge on some or all of the following: Calypso, Summit, Polypath, LoanIQ and Murex.



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Job CategoryBanking, Finance, Regulation, Technology

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