Business Unit:

Job Description:

Responsibilities: Prepare, analyze, and deliver periodic market risk reports utilized by portfolio managers, senior management, regulators, and business units. Design and develop robust processes around risk modeling with focus on database design, quantitative methods and automation. Assist portfolio managers with the risk related questions and analysis. Ad hoc projects and analyses that support risk management, hedge fund research and portfolio management teams. Keep up to date on current trends in the asset management, particularly liquidity risk space, in addition to financial markets, securities, and general investment themes, as well as advances in risk management theory and practice.

Qualifications: THIS POSITION REQUIRES A MASTER’S DEGREE (OR FOREIGN EQUIVALENT) IN QUANTITATIVE ECONOMICS, QUANTITATIVE FINANCE, COMPUTATIONAL FINANCE AND RISK MANAGEMENT, OR CLOSELY RELATED (QUANTITATIVE MAJOR) DEGREE.

IN THE ALTERNATIVE, THE EMPLOYER WILL ACCEPT BACHELOR’S DEGREE IN QUANTITATIVE ECONOMICS QUANTITATIVE FINANCE, COMPUTATIONAL FINANCE AND RISK MANAGEMENT, OR CLOSELY RELATED (QUANTITATIVE MAJOR) DEGREE PLUS 5 YEARS OF WORK EXPERIENCE IN RELATED OCCUPATION.

Special Requirements:

REQUIRED SKILLS: EXPERTISE/KNOWLEDGE OF:

• FOUNDATION OF INVESTMENT KNOWLEDGE, INCLUDING AN UNDERSTANDING OF INVESTMENT STRATEGIES, CAPITAL MARKETS, MARKET INDEXES, KNOWLEDGE OF FINANCIAL PRODUCTS IN DIFFERENT ASSET CLASSES: STOCKS, BONDS, COMMODITIES, EQUITY AND/OR FIXED INCOME DERIVATIVES.
• EXPERIENCE WITH VALUATION/PRICING MODELS.
• MATHEMATICAL ANALYTICAL SKILLS SUCH AS MONTE CARLO SIMULATION, TIME SERIES ANALYSIS, STOCHASTIC CALCULUS, LINEAR ALGEBRA, OPTIMIZATION AND PROBABILITY.
• MACHINE LEARNING SKILLS SUCH AS REGRESSION, CLASSIFICATION, TREE-BASED METHODS, CLUSTERING, MODEL SELECTION AND REGULARIZATION.
• KNOWLEDGE OF FINANCIAL RISK MANAGEMENT CONCEPTS SUCH AS VALUE-AT-RISK, EXPECTED SHORTFALL, STRESS TESTING, CREDIT SPREAD, DEFAULT CORRELATION AND COPULAS.
• AUTOMATING QUANTITATIVE AND REPORTING PROCESS IN PROGRAMMING LANGUAGES SUCH AS C++, VISUAL BASIC, VBA, R AND/OR PYTHON, OBJECT ORIENTED PROGRAMMING, SSIS OR SQLSERVER.
• EXPERIENCE WITH SPREADSHEETS AND DATABASE MANIPULATION.

MUST POSSESS EXPERTISE/ KNOWLEDGE SUFFICIENT TO ADEQUATELY PERFORM THE DUTIES OF THE JOB BEING OFFERED. EXPERTISE/ KNOWLEDGE MAY BE GAINED THROUGH EMPLOYMENT EXPERIENCE OR EDUCATION. SUCH EXPERTISE/ KNOWLEDGE CANNOT BE "QUANTIFIED" BY "TIME."

*May work from home up to 1 day a week*