КипрКомпания не указана
Chief Revenue Officer - Hebrew speaker
1 мес. назад
до 15k EUR / мес.КипрC-levelOnsite
varexpected shortfallstress testingscenario analysisdv01option greeksbloombergfixed income
Senior Market Risk Manager / Chief Risk Officer role in a hedge fund proprietary trading sector based in Limassol, Cyprus, focusing on hands-on market risk management and risk infrastructure development.
About the company
- Sector: Hedge Fund – Proprietary Trading
Responsibilities
- Monitor the fund’s positions and market exposures on an ongoing basis at position, strategy and total portfolio level.
- Monitor and analyse VaR, Expected Shortfall, stress tests, scenario analysis, DV01, option Greeks, FX exposure, gross and net exposure, leverage, concentration, liquidity and drawdown.
- Independently assess risks arising from interest rate products, government bonds, IRS, futures, FX forwards, FX options and other derivatives.
- Analyse Relative Value strategies, yield curve positions, spread trades, basis trades, directional macro positions and other trading strategies.
- Establish and maintain risk limits at fund, strategy and position level, including warning thresholds, operating ranges and hard limits.
- Monitor compliance with risk limits in real time and immediately escalate material breaches or unusual changes in portfolio risk.
- Work with Bloomberg MARS Enterprise or equivalent institutional risk systems to develop the fund’s live risk monitoring infrastructure.
- Ensure accurate and timely capture of trades from Prime Brokers, execution platforms and external trading venues into the risk system.
- Identify missing trades, data inconsistencies, pricing issues and feed failures and coordinate their resolution.
- Perform reconciliation between Prime Brokers, the risk system, trading records and the Fund Administrator.
- Develop clear live risk dashboards for the Portfolio Managers, CRO function and investor.
- Design portfolio specific stress scenarios, including significant moves in interest rates, yield curves, FX, volatility, correlations, spreads and liquidity conditions.
- Identify hidden concentrations and situations where apparently different positions create the same underlying macroeconomic or market exposure.
- Maintain a comprehensive audit trail covering risk limit breaches, alerts, actions taken and resolution of exceptions.
- Work closely with Prime Brokers, Bloomberg, the Fund Administrator and other external service providers on risk and position data.
- Participate in investment and risk meetings and provide an independent assessment of portfolio risk.
- Communicate portfolio risk clearly and effectively to the Portfolio Managers and investor.
Requirements
- At least 7 years of relevant experience in Market Risk, Trading Risk, Hedge Fund Risk, Bank Treasury Risk, Proprietary Trading Risk or a comparable institutional trading environment.
- Strong practical understanding of fixed income, interest rates, FX and derivatives.
- Strong understanding of DV01, duration, yield curve risk, option Greeks, volatility, correlation and leverage.
- Practical experience with VaR, Expected Shortfall, stress testing and scenario analysis.
- Experience monitoring complex trading portfolios rather than primarily producing regulatory risk reports.
- Experience with Bloomberg or another institutional portfolio and risk management platform.