Director, Fixed Income Risk

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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-da