Monitor market risk of U.S. Securitized Products business through analysis of various market risk metrics like Value at Risk (VaR), Stress VaR and other risk measures. Analyze market risk limits and recommend VaR and other market risk measure limits for the business per the business plan and current macro market scenarios. Product and market focus includes secondary CLO, CLO warehouse financing, RMBS, Whole Loans, and structured repo transactions. Ensure market risk is completely captured, understood and controlled in line with defined appetite and portfolio strategy. Collaborate closely with traders from the pre-trade structuring phase through to post-trade risk management of a range of structured credit transactions and products. Present weekly detailed analysis to senior management on significant risk positions, trading strategies and revenue performance, as well as key risks, mitigating factors, and other developments concerning the portfolio and market. Requirements:Bachelors Degree in Business Administration, Finance, or Risk Management, plus 5 years of progressive post-Bachelors experience in the offered position or as a Market Risk Manager for a global bank or financial institution.All required experience must have included: performing market risk reporting and analytics for U.S. Securitized Products including secondary CLO, CLO warehouse financing, RMBS, Whole Loans, and structured repo transactions; monitoring and analyzing market risk metrics including VaR, Stress VaR, economic capital and regulatory capital; recommending market risk measure limits based on business plan and macro market scenarios; resolving excess and high utilization of limits; reviewing, enhancing and providing sign-off on VaR, Stress VaR and FRTB market risk models; and performing regulatory stress testing exercises for the OCC (CCAR) and PRA (FDSF) and defining and running internal stress scenarios. This role entails hybrid work, with time split between working in our New York City office and flexibility to telecommute from another U.S. location. #LI-DNI To apply: E-mail rsum to: kathleen.mcnamara1@nomura.com. Ref. #01563.
