Senior Quantitative Researcher at Top Hedgefund in Boston
Primary Responsibilities:
* Manage the development as well as enhance of the in-house fixed income pricing platform used for portfolio and risk management. collaborate with Research Directors and Portfolio Managers on different investment strategies.
* Develop a comprehensive understanding of the daily scenario-based Risk System production process, including model development, data requirements and processes, database layout, C++ analytics, and report generation
* Build accountability-based business process to monitor daily Risk System runs, utilizing Researchers and Quantitative Developers
* Investigate and explain sources of large daily sensitivity and scenario PL changes and discrepancies
* Pinpoint issues with data and/or analytics and direct junior members of the Group to resolve them
* Make changes and enhancements to the models, scenario definitions and other parts of the risk system to accommodate new state variables and sources of risk
Qualifications:
* MS in Computational Finance/Financial Mathematics/Financial Engineering
* 5+ years of professional experience implementing fixed income pricing models for products in rates, credit, correlation and ABS space
* Substantial experience with C++ programming of fixed income analytics in a production environment
* Familiarity with various types of fixed income instruments and valuation approaches
* Solid understanding of risk management concepts
* Proven ability to work collaboratively as well as independently