Director, Market Risk - FX Options & Rates Derivatives

Robert Walters is working exclusively with a leading international banking organisation to appoint a Director within its EMEA Market Risk function.

Director, Market Risk – FX Options & Rates Derivatives

London Permanent Competitive salary and bonus

Robert Walters is working exclusively with a leading international banking organisation to appoint a Director within its EMEA Market Risk function.

This is a senior, highly technical second–line Market Risk appointment with responsibility for independent oversight of an FX Options franchise–including vanilla and exotic products–alongside material coverage of fixed–income and interest–rate derivatives.

The role

• Provide end–to–end independent Market Risk oversight across FX, FX Options and fixed–income derivatives trading portfolios.

• Cover spot FX, forwards, vanilla options and exotic structures, including barriers, digitals, Asians, lookbacks, quantos and volatility–linked products.

• Oversee rates and fixed–income derivatives risk, including interest–rate swaps, OIS and basis swaps, cross–currency swaps, inflation products, swaptions and structured rates transactions.

• Design and lead bespoke stress–testing and reverse–stress–testing analysis across FX and rates derivatives, including cross–asset scenarios, volatility shocks, yield–curve movements, liquidity events and correlation breakdowns.

• Support FRTB analysis, including Internal Models Approach, Standardised Approach for Trading Book, Expected Shortfall and associated regulatory–capital considerations.

• Develop and enhance risk analytics and P&L–explain tools, using Python where appropriate.

Candidate profile

• Extensive Market Risk experience gained within an investment bank or comparable trading environment.

• Deep FX Options expertise, including genuine exposure to exotic–option risk and volatility–surface dynamics.

• Strong working knowledge of interest–rate and fixed–income derivatives risk, ideally including cross–currency, inflation and swaption exposure.

• Experience of FRTB and trading–book market–risk capital frameworks.

• Strong Python capability for risk analytics, stress testing or P&L explain; Murex exposure would be beneficial.

If you meet the above set criteria, please apply or send a copy of your CV to

Robert Walters Operations Limited is an employment business and employment agency and welcomes applications from all candidates