VP, Rates Market Risk

The VP, Market Risk Manager will sit on the trading floor and act as the primary risk partner for the Rates business, covering a broad range of products including repo, U.S. Treasuries, interest rate swaps, options, exotics, RMBS, and municipal securities. The role requires strong technical expertise, excellent communication with front‑office stakeholders, and the ability to challenge, interpret, and navigate complex market risk exposures.

Client Details

Large international bank based in Midtown.

Description

• Provide day‑to‑day market risk oversight for the Rates trading desks, including repo, Treasuries, swaps, options, exotics, RMBS, and munis.
• Monitor risk exposures, P&L moves, limit utilization, and key risk metrics (DV01, CS01, gamma, vega, convexity, scenario/VAR).
• Identify, analyze, and escalate significant market events, model behavior changes, or portfolio shifts.
• Partner with traders to understand trade structures, risk drivers, and potential tail risks.

• Review and challenge new trades, large risk changes, and complex structures before execution when needed.
• Maintain and enhance risk frameworks, stress scenarios, sensitivities, and reporting tools.
• Support daily and monthly risk reporting, commentary, and limit governance processes.
• Collaborate with quantitative teams to validate models, pricing assumptions, and risk methodologies.

• Serve as a key point of contact between Risk Management and the Rates desk.
• Work closely with trading, technology, quants, finance, and compliance to ensure consistent and accurate risk representation.
• Provide insight on market themes, volatility shifts, curve moves, and macroeconomic drivers impacting the book.

• Assist with regulatory inquiries and internal audits related to market risk.
• Contribute to policies, procedures, limit frameworks, and control enhancements.
• Participate in scenario design, stress testing, and regulatory reporting initiatives.

Profile

• 6-12+ years of experience in market risk or a closely related function (trading assistant/desk strat, product control, quant risk, or treasury risk).
• Strong understanding of Rates products: repo, U.S. Treasuries, swaps, options, structured/exotics, and securitized products.
• Advanced knowledge of sensitivities, scenario analysis, VaR, and other market risk methodologies.
• Ability to challenge the front office effectively while maintaining strong working relationships.
• Comfort working on the trading floor in a fast‑paced environment.
• Bachelor's degree required; advanced degree or technical background preferred (math, finance, engineering, physics, statistics).

Job Offer

Base salary range: $125,000-$225,000, plus discretionary bonus.

MPI does not discriminate on the basis of race, color, religion, sex, sexual orientation, gender identity or expression, national origin, age, disability, veteran status, marital status, or based on an individual's status in any group or class protected by applicable federal, state or local law. MPI encourages applications from minorities, women, the disabled, protected veterans and all other qualified applicants.