Market & Valuation Risk Management – Rates

As a Valuation Risk Manager covering Rates, you will ensure effective risk management focused on Independent Price Verification (IPV) across interest rate products and derivatives for the Americas region.

The Rates area includes a variety of sub-businesses such as Options, Swaps, Exotics, Repo, Treasuries, Inflation, Mortgage-Backed Securities (MBS), Municipal bonds and Social Infrastructure, etc.

This role will have a deep focus on Mortgage-Backed Securities desks including Agency MBS and Collateralized Mortgage Obligations (CMOs) and Public Finance & Solutions (PF&S) desk including Municipal Bond Trading, Social Infrastructure, Affordable Housing and E-Trading desks.

You’ll be an integral part of the Valuation Risk team focusing on all aspects of valuation including IPV, fair value reserving, prudent valuation, methodology review, Day 1 Profit & Loss, leveling and control framework.

This role demands a strong understanding of financial instruments, valuation methodologies, market data, and a proven ability to drive strategic initiatives and foster a robust control environment.

Responsibilities

• Oversee monthly and intra-month Independent Price Verification (IPV) across the Rates business, with a primary focus on municipal bonds and derivatives,including flow, financing, social infrastructure, affordable housing, and gas prepayment transactions,as well as Mortgage-Backed Securities, including Agency Specified Pools, TBAs, IOs, IIOs, and CMOs
• Partner regularly with Business (Front Office Trading) and Strats on the most significant items including emerging valuation risks, support new business growth and initiatives and challenge where necessary
• Engage with Senior Management around significant matters as well with key stakeholders including Front Office heads, Risk managers, Finance and IT
• Key contact for internal and external auditors and regulators on IPV matters for business area. In addition, lead with global teams delivering on overall valuation agenda and controls
• Be innovative around optimization efforts within Rates business with focus on methodologies, innovation and robust automated controls with a focus on integrating AI

Requirements

• Math(s), Sciences, Finance, Engineering, Business degree. MS or higher education, an advantage. Post graduate finance-related qualification (i.e., CFA or FRM), an advantage
• Extensive experience in a markets or investment banking environment in a valuation, risk management, front office (i.e. trading/structuring) or product control capacity
• Deep understanding of financial instruments and markets; expert knowledge across a broad range of Fixed Income, most notably rates products and derivatives including cash products across MBS and Municipal bonds
• Extensive knowledge using Yield Book, Intex and DCF modelling are a plus
• Proven ability to leverage AI tools to enhance productivity, optimize workflows to solve business problems, while applying critical judgment to ensure responsible and ethical use of data and AI outputs

What We Offer You

• A diverse and inclusive environment that embraces change, innovation, and collaboration
• A hybrid working model, allowing for in-office / work from home flexibility, generous vacation, personal and volunteer days
• Employee Resource Groups support an inclusive workplace for everyone and promote community engagement
• Competitive compensation packages including health and wellbeing benefits, retirement savings plans, parental leave, and family building benefits
• Educational resources, matching gift and volunteer programs