Head of Risk - Credit

The Firm seeks a Risk Manager to join its Risk Management team in New York. The successful candidate will oversee the independent risk management of convertible bond portfolios in the United States, Europe, and Asia.

Primary Responsibilities

Own independent risk oversight: Oversee global convertible bond portfolios, with a clear view of exposures across delta, gamma, vega, credit spread, rates, borrow, financing, liquidity, and correlation.

Analyze P & L and risk: Analyze risk drivers, P & L attribution, hedging efficiency, scenario behavior, and tail outcomes.

Develop and oversee risk guidelines: Establish guidelines for portfolio construction, concentration, liquidity, gap risk, financing, and drawdown. Ensure mandates are defined, scalable, and consistently observed.

Review trade and portfolio construction: Review positions with close attention to bond terms, embedded optionality, capital structure, stock borrow, dividends, corporate actions, financing assumptions, and event risk. Assess both directional and relative-value risk.

Review portfolio risk: Work closely with portfolio managers to assess positions where risk may be mispriced, crowded, imperfectly hedged, or less aligned with mandate, liquidity, or market regime.

Evaluate portfolio manager candidates: Assess prospective Portfolio Manager candidates by testing the strength of their process, risk discipline, hedging approach, portfolio construction, and historical returns.

Improve risk infrastructure: Enhance the Firm’s models, systems, and reporting for convertible bond risk. Work with quantitative researchers and technologists to improve valuation, stress testing, exposure decomposition, and real-time reporting.

Communicate with precision: Present key exposures, stress results, and changes in market structure clearly to senior leadership and investment teams.

Monitor global market developments: Track issuance, liquidity, market structure, and regional differences in the U.S., Europe, and Asia that may affect risk-taking and portfolio construction.

Required Qualifications & Skills Experience

At least eight years of experience in risk management, trading, structuring, or desk strategy, with significant exposure to convertible bonds, equity-linked products, or relative-value strategies.

Deep knowledge of convertible bonds and their key risk drivers, including equity sensitivity, credit spread risk, volatility, rates, dividend assumptions, borrow cost, financing, and liquidity.

Strong understanding of how convertible bonds interact with related instruments, including cash equities, listed and OTC equity derivatives, corporate bonds, CDS, and capital‑structure hedges.

Demonstrated ability to oversee day‑to‑day portfolio risk while leading complex strategic projects.

Experience in trading, structuring, or portfolio construction is highly desirable, though this is a dedicated risk management role.

Experience across U.S., European, and Asian convertible markets is strongly preferred.

Skills & Knowledge

Quantitative and programming skills: Strong quantitative and programming skills, including Python and SQL, for data analysis, model development, and automation.

Valuation and risk modeling: Strong understanding of derivative pricing, asset pricing, financial econometrics, and risk techniques relevant to convertible bonds and equity‑linked products.

Market judgment: Sound judgment in assessing portfolio risk under normal and stressed conditions, including gap risk, short squeezes, credit events, volatility shocks, and liquidity deterioration.

Communication: Excellent written and verbal communication skills, with the ability to build effective relationships with portfolio managers, traders, quantitative researchers, and senior stakeholders.

Education

A degree in a quantitative discipline, such as Finance, Economics, Engineering, Mathematics, or Computer Science.

A graduate degree is strongly preferred.

The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.

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