Director, Market Risk - FX Options & Rates Derivatives

About the role

The position is a senior, second‑line Market Risk role within the EMEA Market Risk function of a leading international bank. It provides independent oversight of the FX Options franchise and material coverage of fixed‑income and rates derivatives.

Key responsibilities

• Deliver end‑to‑end Market Risk oversight for FX, FX Options and fixed‑income derivatives trading portfolios.
• Cover spot FX, forwards, vanilla and exotic options (barriers, digitals, Asians, lookbacks, quantos, volatility‑linked products).
• Monitor rates and fixed‑income risk, including interest‑rate swaps, OIS, basis swaps, cross‑currency swaps, inflation products, swaptions and structured rates.
• Design and lead bespoke stress‑testing and reverse‑stress‑testing across FX and rates, incorporating cross‑asset scenarios, volatility shocks and liquidity events.
• Support FRTB analysis, including Internal Models Approach, Standardised Approach, Expected Shortfall and regulatory capital calculations.
• Develop and enhance risk analytics and P&L‑explain tools, leveraging Python where appropriate.

Required profile

• Extensive Market Risk experience in an investment bank or comparable trading environment.
• Deep expertise in FX Options, including exposure to exotic‑option risk and volatility‑surface dynamics.
• Strong knowledge of interest‑rate and fixed‑income derivatives risk, ideally covering cross‑currency, inflation and swaption exposure.
• Hands‑on experience with FRTB and trading‑book market‑risk capital frameworks.

Required skills

• Proficiency in Python for risk analytics, stress testing or P&L explain.
• Familiarity with Murex or similar front‑to‑back trading systems.