Overview
A global Asset Management Firm is seeking a Quantitative Risk Analyst to join its Risk & Quantitative Research (RQR) team. The RQR team plays a critical role in the firm's investment process by fostering efficient risk management and accurate performance attribution. The team aims to protect the firm from improper exposure levels and ensure risk-taking is deliberate and efficient.
Responsibilities
- Analyze portfolios and strategies to identify performance drivers and develop reports summarizing risk profiles to facilitate risk management and improve understanding of portfolio construction and investment behavior.
- Design and enhance stress testing, Value at Risk (VaR), and limit frameworks for portfolios containing diverse products and strategies.
- Evaluate and validate pricing and risk models to ensure their soundness and correct application.
- Conduct research to develop innovative risk management tools, approaches, and analytics, and present findings to senior management.
- Collaborate with Risk Managers and developers on the design and development of risk management infrastructure.
- Analyze large structured and unstructured datasets, including internal trade and market data, and perform numerical simulations and statistical analyses.
Requirements
- Undergraduate or higher degree in a quantitative discipline.
- Minimum of 5 years of experience in quantitative research, trading, or risk management related to equity options portfolios and volatility trading.
- Strong background in statistics, mathematics, and econometrics.
- High proficiency in SQL and quantitative programming languages such as Python, MATLAB, or R.
- Ability to manage multiple tasks and deadlines independently in a fast-paced environment.
- Proactive approach to seeking new ideas and solutions to improve existing processes.
- Strong work ethic with reliability, accountability, and attention to detail.
- Excellent communication skills, both verbal and written, with the ability to convey ideas clearly and concisely.
- Ability to work cooperatively with all levels of staff as part of a team.
- Commitment to the highest ethical standards and professionalism.
Preferred Qualifications
- Experience with volatility strategies and equity derivative modeling, including calibration of implied volatility from market data, fitting implied volatility surfaces, and performing stress-test analysis on Greeks of volatility strategies.
Location
Not specified.
Compensation & Benefits
Not specified.