Director, Market Risk - FX & Rates Derivatives

Position: Director, Market Risk - FX Options & Rates Derivatives
Robert Walters is working exclusively with a leading international banking organisation to appoint a Director within its EMEA Market Risk function. Director, Market Risk - FX Options & Rates Derivatives London | Permanent | Competitive salary and bonus Robert Walters is working exclusively with a leading international banking organisation to appoint a Director within its EMEA Market Risk function. This is a senior, highly technical second-line Market Risk appointment with responsibility for independent oversight of an FX Options franchise-including vanilla and exotic products-alongside material coverage of fixed-income and interest-rate derivatives.

The role Provide end-to-end independent Market Risk oversight across FX, FX Options and fixed-income derivatives trading portfolios. Cover spot FX, forwards, vanilla options and exotic structures, including barriers, digitals, Asians, lookbacks, quantos and volatility-linked products. Oversee rates and fixed-income derivatives risk, including interest-rate swaps, OIS and basis swaps, cross-currency swaps, inflation products, swaptions and structured rates transactions. Design and lead bespoke stress-testing and reverse-stress-testing analysis across FX and rates derivatives, including cross-asset scenarios, volatility shocks, yield-curve movements, liquidity events and correlation breakdowns.

Support FRTB analysis, including Internal Models Approach, Standardised Approach for Trading Book, Expected Shortfall and associated regulatory-capital considerations. Develop and enhance risk analytics and P&L-explain tools, using Python where appropriate. Candidate profile Extensive Market Risk experience gained within an investment bank or comparable trading environment. Deep FX Options expertise, including genuine exposure to exotic-option risk and volatility-surface dynamics. Strong working knowledge of interest-rate and fixed-income derivatives risk, ideally including cross-currency, inflation and swaption exposure.

Experience of FRTB and trading-book market-risk capital frameworks. Strong Python capability for risk analytics, stress testing or P&L explain;
Murex exposure would be beneficial. If you meet the above set criteria, please apply or send a copy of your CV to Robert Walters Operations Limited is an employment business and employment agency and welcomes applications from all candidates