One of the best American hedge funds on the street is looking for a talented Senior Quantitative Analyst to join their Risk and Quantitative Research team and cover the portfolio construction and risk management of the firm's mortgages and securitized products portfolio. This hire will report up to the new Head of Global Macro/Fixed Income Risk Management for the firm.
This hire will be responsible for the analysis of portfolio and strategies related to Mortgages and Securitized products while working with senior risk managers and portfolio managers on a daily basis. Some of the responsibilities will include portfolio constitution, enhancing upon the existing risk infrastructure, monitoring risk limit usage, designing VaR and limit frameworks, and conducting quantitative research to assist the investment team and risk managers. The over-arching goal of this team is to protect the firm from improper levels of risk exposure.
The firm is looking for candidates with 5+ years of experience working in quantitative research and/or risk management, subject matter expertise in mortgages and securitized products, proficiency in programming in Python and a strong quantitative skillset, the ability to effectively communicate and interface with senior management and the investments teams, and a degree in a quantitative function.
Responsibilities:
- Analyzing the fixed income portfolios and strategies to identify risk and performance drivers
- Enhancing upon the risk frameworks and infrastructure to assist with efficient risk management and improve portfolio construction and investment behavior
- Working closely with risk managers and portfolio managers on risk limit usage, portfolio construction, tail exposure, and forward-looking risk events
- Helping with the design and improvement of stress testing, VaR, and various limit frameworks for portfolios
- Conducting quantitative research for innovative risk management approaches and tools
Qualifications:
- Relevant degree in quantitative finance, statistics, math, or computer science
- 5+ years of work experience in quantitative research and/or risk management
- Extensive knowledge of mortgages and securitized products
- Knowledge of pricing models and risk sensitivities
- Proficiency in Python or SQL
- Excellent communication skills to interact with portfolio managers and senior management