Director, Fixed Income Risk (Project Management)

Role Summary

The Fixed Income Risk Director is a key role within Investment Risk at T. Rowe Price. The Investment Risk team, which is part of the firm's Enterprise Risk Group, consists of 43 associates located in the United States, United Kingdom, Luxembourg, and Singapore, supported by dedicated technology resources in the US and UK. As of December 31, 2024, T. Rowe Price had $1.61 trillion in assets under management, serving millions of clients globally who rely on the firm for its retirement expertise and active management across asset classes.

This Baltimore-based role, reporting to the global lead of Fixed Income Risk based in London, offers the opportunity to lead risk management for fixed income investment strategies managed by the Investment Grade (IG) team whose portfolio managers are predominantly in the U.S. with a primary focus on U.S. markets. As the IG coverage lead, the Fixed Income Risk Director frequently engages with portfolio managers and management on market risks, both benchmark-relative and absolute, in commingled investment vehicles and separate client account mandates. The Fixed Income Risk Director also provides risk consultancy for investment teams, which includes deep-dive risk analyses, supplementary stress testing, and tail risk analysis. In addition to possessing risk modeling expertise, the Fixed Income Risk Director must demonstrate a thorough understanding of fixed income investment strategies, markets, and macroeconomic risk drivers in their interactions. Effective collaboration with Fixed Income Risk team members, other parts of Investment Risk, such as Regulatory Risk, and other functions, such as Technology, is another key determinant of success.

To be successful, the incumbent must have:

• Extensive experience in the asset management industry with a focus on fixed income market risk, gained through roles in risk management, investment, or trading departments.
• A clear understanding of buy-side risk management, fixed income investment strategies, and global financial markets.
• Knowledge of the nuances and complexities of investment-grade credit markets, including the ability to assess and communicate risks associated U.S. and European corporate bonds, interest rate and credit derivatives, and a variety of securitized/structured products (e.g., agency and non-agency RMBS, CMO, CMBS, ABS, and CLO).
• The ability to communicate effectively with the team and key stakeholders, including portfolio managers, investment division leaders, and external clients/prospects/consultants.
• Programming skills to process and visualize data and perform computations efficiently.

Responsibilities

Day-to-day Risk Management Activities: 

• Review and interpret fixed income risk analytics and dashboards.
• Identify, measure, monitor, and communicate key portfolios risks to portfolio management teams with a focus on identifying significant sources of risk (e.g., factors, securities, sectors, etc.) and material changes to portfolios' risk profiles.
• Analyze tail risks and conduct stress tests based on hypothetical and historical scenarios.
• Collaborate with fixed income investment staff to understand their strategies and risk taking in portfolios.

Extension of Risk Reporting & Tools:

• Prototype and develop risk reporting and tools to enhance existing vendor risk platforms (primarily Bloomberg and MSCI RiskManager) for the identification and measurement of risks within and across fixed income portfolios.
• Specify data requirements for inclusion in dashboards/reports and potentially research and develop new methodologies and techniques.
• Collaborate with associates in the Technology department to define requirements and support testing throughout the development process.
• Present and communicate analytical results effectively to ensure buy-in from colleagues and adoption by Investment Risk stakeholders.

Communication with Internal & External Stakeholders: 

• Interact with many stakeholders beyond frequent contact with investment teams, including client-facing professionals, management, oversight committees, clients, consultants, and prospective clients, as appropriate. 
• Demonstrate a strong grasp of technical details and an up-to-date knowledge of investment strategies and markets.
• Communicate complex topics clearly, confidently, and engagingly in both verbal and written forms.
• Contribute to timely written responses containing fixed income risk information requested by clients, prospects, consultants, regulators, and internal teams at times.

Ad-hoc Analysis & Projects: 

• Perform ad-hoc data and quantitative analyses in response to requests from fixed income portfolio managers and risk team members.
• Collaborate with team members and the Fixed Income quant team, as needed, to ensure methodologies are sound and best practices are followed.
• Reconcile results with other in-house findings before communicating them to investment teams.

Qualifications

Required:

• A passion for risk management and a demonstrated interest in financial markets through academic background, work experience and/or outside activities.
• Bachelor's degree in a quantitative or scientific field such as quantitative finance/economics, statistics, applied mathematics, operations research, engineering, computer science, or physics.
• Work experience with quantitative methods used to evaluate risk, such as volatility, tracking error and Value-at-Risk.
• Fixed income and risk management experience in an asset management environment with a strong knowledge of investment grade credit, including securitized investments (e.g., RMBS, CMO, CMBS, ABS, and CLO)
• Programming skills with experience using common programming languages and statistical analysis packages.
• Experience using industry standard risk models/systems such as Bloomberg's GRM/TRM or PORT, MSCI RiskManager, Aladdin, Yield Book or similar.
• Data analysis skills.
• Strong interpersonal and communication skills.
• High standards of work quality and integrity.
• Strong organizational skills.
• Self-starter with high motivation who enjoys collaborating.
• Intellectually curious with a commitment to continuous learning.

Preferred:

• More than 10+ years of direct experience in fixed income risk management at a buy-side asset manager
• Master's or PhD degree in a quantitative or scientific field as listed above.
• Programming skills in Python
• Completion or progress towards professional risk or finance accreditations, such as CFA, FRM, and PRM
• Risk management experience with High Yield bonds and Bank Loans.
• Experience using Bloomberg's GRM/TRM or PORT models for fixed income analysis, risk management, scenario analysis, and multifactor performance attribution.
• Experience using MSCI RiskManager for VaR and stress testing/scenario analysis.
• Experience working for a global asset manager with key personnel located in multiple regions.

FINRA Requirements

FINRA licenses are not required and will not be supported for this role.

Work Flexibility

This role is eligible for hybrid work, with up to two days per week from home.

Base Salary Ranges

Please review the job posting for the location of this specific opportunity.

$170,000.00 - $290,000.00 for the location of: Maryland, Colorado, Washington and remote workers
$187,000.00 - $319,000.00 for the location of: Washington, D.C.
$212,000.00 - $350,000.00 for the location of: New York, California

Placement within the range provided above is based on the individual's relevant experience and skills for the role.  Base salary is only one component of our total compensation package.  Employees may be eligible for a discretionary bonus, which is determined upon company and individual performance.

Commitment to Diversity, Equity, and Inclusion

At T. Rowe Price, our associates are our greatest asset. We thrive because our company culture is built on inclusion and because we sustain a work environment where associates can bring their best selves to work every day. The backgrounds, talents, and experiences of our global associates allow us to embrace new ideas and perspectives that move our business priorities forward and enable us to deliver strong client outcomes. Here, you can expect equal opportunity and fair and consistent treatment for all. 

Benefits

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, color, 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.