Sr Manager, Multi-Asset Investment Risk

Requisition Number: 71180

Position Title:

External Description:

Role Summary

The Senior Multi-Asset Risk Manager 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) risks impacting portfolios managed by the firm’s Multi-Asset division, which has assets under management of $520B as of March 31, 2024.  These portfolios include positions in equity, fixed income, and alternative assets implemented through both cash and derivative market instruments.

The Senior Multi-Asset Risk Manager role reports to the Director, Multi-Asset Risk, who leads the global Multi-Asset Risk function, and is expected to collaborate on a regular basis with other risk analysts and managers both within the Multi-Asset Risk team as well as more broadly across Investment Risk.

To be successful, the Senior Multi-Asset Risk Manager must:

• Be able to accurately evaluate risks under both normal and stressed market conditions through the use of both vendor and proprietary tools;

• Apply multi-factor risk models, stress testing/scenario analysis, and tail risk measures;

• Have strong programming skills to enable:  expedient problem solving, the development of solutions that can be scaled across numerous portfolios, and the development of proprietary risk measurement approaches and mitigation strategies; and

• Be able to clearly summarize analyses and results for both quant and non-quant audiences, which may include investment committees, portfolio managers, solutions strategists, clients, and consultants.

The Senior Multi-Asset Risk Manager will have the opportunity to influence new risk dashboards and tools as well as provide commentary for investment teams and other key audiences in the management and distribution of multi-asset portfolios. This role will primarily focus on multi-asset portfolios managed in the APAC and EMEA regions and play an important part in the growth and oversight of this business.

PRINCIPAL RESPONSIBILITIES

•Day-to-day Risk Management Activities:  Support the multi-asset risk program with the day-to-day identification, measurement, monitoring, and communication of risks in multi-asset portfolios. This includes the following activities:  monitoring portfolios for changes in their risk profiles, performing portfolio stress tests based on both hypothetical and historical scenarios, analyzing the interaction between sub-portfolios that act as building blocks and the overall multi-asset class portfolio, preparing risk material for risk meetings and conducting follow-up analysis, and collaborating with investment staff in Multi-Asset on managing portfolio risk. Market monitoring will be needed to stay abreast of significant developments and to inform stress testing and scenario analysis. Programming skills will be needed to efficiently access, organize, analyze, and report on risk analysis results.

•Extension of Risk Modeling Methodologies & Tools:  Prototype and develop risk modeling methodologies and tools to extend upon the core platform provided by MSCI for the identification and measurement of risks within and across investment portfolios. Activities will include tasks related to the development of methodologies and the specification of data needed for risk modeling as well as for inclusion in reports and dashboards. Development and testing will be coordinated with the Multi-Asset Risk team and will include collaboration with associates in Multi-Asset and Global Technology. Programming will be required to prototype calculation engines and provide proof of concept. 

•Ad-hoc Quantitative Analysis:  Perform ad-hoc quantitative analyses in response to unique requests. Contribute to the development of new products and investment solutions for clients by consulting with Multi-Asset’s investment and research teams on the risk profile of proposed multi-asset portfolios.

•Communication of Risks:  Communicate about market risk to audiences outside of Investment Risk, as appropriate. Prepare written and verbal commentary based on risk analysis results to portfolio managers, solutions strategists, and other members of the investment team. Deliver written responses and presentations to clients, prospects, consultants, as needed, to support various distribution channels.

QUALIFICATIONS

Required

•A passion for risk management and a demonstrated interest in financial markets through work experience and outside activities

•Bachelor’s degree in a quantitative field such as quantitative finance, statistics, applied mathematics, operations research, engineering, or computer science

•A minimum of six years of relevant investment risk management or portfolio risk analytics experience

•A thorough understanding of multi-factor risk modeling in a multi-asset class setting (equity, fixed income, hedge funds, alts, derivatives) using fundamental, technical, and economic risk factors

•Knowledge of derivatives pricing and risk modeling

•Programming experience in Python, R, or MATLAB

•Strong quantitative and analytical skills

•Excellent communicator with the ability to explain complex ideas clearly and confidently to non-technical/non-quantitative audiences

•Strong interpersonal skills

•Ability to prioritize and handle dynamically changing work requirements in a fast-paced environment

•Results-driven mindset

•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

Preferred

•Postgraduate degree in a quantitative field

•Completion or progress towards professional accreditations such as CFA, FRM, PRM, or CAIA

•Multi-Asset risk experience at a buy-side asset management firm

•A practical understanding of the use of derivatives in investment strategies

•Experience using MSCI’s Barra One platform for multi-asset class risk modeling and stress testing

•Experience using MSCI’s Risk Manager platform for VaR, stress testing and scenario analysis

•Experience developing dashboards in Power BI or similar data visualization package

FINRA Requirements

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

Work Flexibility

This role is eligible for remote work up to two days a week.

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Community / Marketing Title: Sr Manager, Multi-Asset Investment Risk

Company Profile:

Location_formattedLocationLong: Maryland, US

CountryEEOText_Description: Commitment to Diversity, Equity, and Inclusion: We strive for equity, equality, and opportunity for all associates. When we embrace the power of diversity and create an environment where people can bring their authentic and best selves to work, our firm is stronger, and we create greater value for our clients. Our commitment and inclusive programming aim to lift the experience for each associate and builds allies for our global associate community. We know that a sense of belonging is key not only to your success at the firm, but also to your ability to bring your best each day. Benefits: We invest in our people through a wide range of programs and benefits, including: • Competitive pay and bonuses as well as a generous retirement plan and employee stock purchase plan with matching contributions • Flexible and remote work opportunities • Health care benefits (medical, dental, vision) • Tuition assistance • Wellness programs (fitness reimbursement, Employee Assistance Program) Our policies may change as our working lives evolve. Yet, our commitment to supporting our associates’ well-being and addressing the needs of our clients, business, and communities is unwavering. 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.