Market Risk Analysis and Reporting Lead

📍 New York, NY | Hybrid (3 days onsite)

A leading global banking institution is seeking a VP-level Market Risk specialist with deep expertise in interest rate swaps and rates derivatives to join its Americas Market Risk function.

This role sits on the Daily Market Risk Analysis & Reporting team and will focus heavily on monitoring, analysing, and explaining risk arising from interest rate swaps and related derivatives across trading portfolios
.

The successful candidate will act as a subject matter expert on swaps risk
, responsible for understanding how positions behave under changing market conditions and clearly articulating what the bank’s exposure is if a swap position moves adversely
.

This is a high-visibility role with direct interaction with trading desks, senior risk leadership, and risk committees
.

• Provide daily oversight of market risk across interest rate swaps and rates derivatives trading books
• Analyse and explain changes in risk exposure arising from swaps positions
  , including movements in VaR, DV01, convexity, and other rate sensitivities
• Assess potential downside scenarios for swap portfolios
  , identifying where the bank could be exposed if market moves occur
• Work closely with the Rates and Swaps trading desks to understand positioning, hedging strategies, and emerging risks
• Produce clear, concise commentary explaining risk drivers to senior stakeholders and risk committees
• Evaluate risk implications of new swaps structures or trades before onboarding
• Identify concentrations or structural exposures within swap portfolios and escalate material risks where appropriate
• Support enhancements in risk aggregation, stress testing, and swaps exposure reporting
• Ensure swaps risk is monitored in line with internal governance and regulatory requirements

• 7+ years’ experience in Market Risk within an investment bank or major financial institution
• Strong expertise in interest rate swaps and rates derivatives risk
• Ability to clearly explain how swaps positions translate into risk exposure under different rate scenarios
• Deep understanding of rates risk metrics including DV01, PV01, VaR, sensitivities, and stress testing
• Experience working closely with Rates trading desks
• Solid knowledge of fixed income and derivatives markets
• Strong analytical mindset with the ability to translate complex risk exposures into clear explanations

• Interest Rate Swaps (IRS)
• Swaptions
• Caps / Floors
• Government bonds & Treasuries
• Credit Default Swaps (CDS)

• SQL and/or Python
• Experience with risk data aggregation tools (MS SQL, MySQL, Oracle)
• VBA
• Data visualization tools such as Power BI