Fixed Income Risk Analyst
PRIMARY PURPOSE OF THE POSITION
The Fixed Income Risk Analyst position is an integral role within T. Rowe Price's independent Investment Risk team that is accountable for identifying, measuring, monitoring, communicating and helping to mitigate (when warranted) portfolio risks managed by the firm's Fixed Income division with $263 bn in assets under management as of June 30, 2020. The portfolios, both active and absolute return, are comprised of a broad array of cash and derivative instruments across global markets.
This Risk Analyst role in London, reporting to the Sr. Risk Manager of the global fixed income risk function in Baltimore, is an opportunity to help establish and grow along with a new team that was launched in 2020. The analyst will collaborate closely with other risk analysts within the fixed income risk team as well as across Investment Risk. Managing an effective partnership with Global Technology associates while also making hands-on contributions will be critical for the successful buildout of infrastructure for portfolio risk oversight. As the team grows and the infrastructure matures, the risk analyst will be increasingly involved in risk consultancy work for investment teams which may include deep dive risk analysis, supplementary stress testing, and tail risk analysis. A thorough understanding of the investment strategies and the market environment will be important for success. The analyst will also provide subject matter expertise and commentary in support of regulatory requirements managed by other teams in Investment Risk.
To be successful, the Risk Analyst must have:
- Academic background and work experience in programming and statistics as applied to financial markets. Strong programming skills are necessary for success in this position
- Work experience with fixed income as well as quantitative methods to evaluate risk and performance
- Experience in the asset management industry within a fixed income risk management department or within a fixed income investment department
- The ability to communicate effectively with the team and internal clients (primarily, portfolio managers and credit analysts)
Day-to-day Risk Management Activities : Support the fixed income risk management team in the presentation and interpretation of fixed income risk analytics and reporting. Identify, measure, monitor, and communicate fixed income portfolios risks, including: monitoring of changes to portfolios' risk profiles and the delivery of insights to key audiences (e.g. portfolio managers, credit analysts, senior management and other internal as well as external clients); analyzing tail risks and performing stress tests based on hypothetical and historical scenarios; collaborating with fixed income investment staff as needed.
Extension of Risk Reporting & Tools : Prototype and develop risk reporting and tools to extend upon vendor risk platforms (primarily Bloomberg) for the identification and measurement of risks within and across fixed income portfolios. Activities will include the specification of data needed for inclusion in dashboards/reports and may involve the research and development of new methodologies and techniques. Development will include hands-on contributions and collaboration with associates in the Fixed Income and Global Technology divisions. Effective presentation and clear communication of analytical results will be needed to achieve buy-in from colleagues and adoption by Investment Risk's stakeholders.
Communication with Internal & External Audiences : In addition to frequent contact with investment teams, the risk analyst will need to effectively communicate with many different audiences, potentially including client-facing professionals, management, oversight committees, clients, consultants, and prospective clients as deemed appropriate by the lead risk manager. To be effective in these interactions, the risk analyst will need to demonstrate their strong grasp of technical details and their up-to-date knowledge of investment strategies and markets. The ability to verbally communicate complex topics in a clear, confident, and engaging manner is necessary to be successful in this role. The risk analyst will partner with the Investment Risk Analytics team to provide timely, helpful, and accurate written responses to requests for fixed income risk information from clients/prospects/consultants, regulators, and internal teams.
Ad-hoc Analysis : Perform ad-hoc data and quantitative analyses in response to requests from fixed income portfolio managers, credit analysts, and risk team members.
- A passion for risk management and a demonstrated interest in financial markets through academic background, work experience and/or outside activities
- Master's or PhD degree in a quantitative or scientific field such as quantitative finance, statistics, applied mathematics, operations research, engineering, computer science, or physics
- Work experience with quantitative methods to evaluate risk and performance including programming and statistics as applied to financial markets
- Fixed income and risk management experience within an asset management environment
- Programming skills and experience (Python most preferred; R, MATLAB, SAS or related language)
- Experience using industry standard risk and performance models such as Bloomberg's GRM or PORT, Aladdin, Yield Book or similar
- Data analysis skills (using Excel and/or above programming languages)
- Strong interpersonal skills with excellent communications ability
- High standards of work quality and integrity
- Strong organizational skills
- Enjoy working as part of a team in a collaborative environment
- Intellectually curious with a commitment to continuous learning
- Seven or more years of direct experience in fixed income risk management at a buyside asset manager
- Completion or progress towards professional risk or finance accreditations such as CFA, FRM, PRM
- Experience using Bloomberg's GRM, TRM or PORT models for fixed income analysis, risk management, scenario analysis and performance attribution
T. Rowe Price is an equal opportunity employer and values diversity of thought, gender, and race. We believe our continued success depends upon the equal treatment of all associates and applicants for employment without discrimination on the basis of race, religion, creed, colour, national origin, sex, gender, age, mental or physical disability, marital status, sexual orientation, gender identity or expression, citizenship status, military or veteran status, pregnancy, or any other classification protected by country, federal, state, or local law.