Quantitative Risk Management Developer
A Premier Investment management Firm in Manhattan is seeking a full time, permanent, Quantitative Risk Management Developer: (50% coding 50% modeling)
Background to Position and the Group
The principal mandate of the risk management function is to:
* Assist the CIO in making risk-return decisions on the basis of continuously improved transparency on the factors driving risk and return of the portfolio.
* Develop an independent view on the risk profile of the portfolio, recognizing that the approach and degree of oversight will vary across fund-of-fund investments, separate account investments and the Firm*s directed trades.
* Develop, maintain and evolve a consistent philosophical and methodological risk management blueprint across market, liquidity, counterparty and operational risk; help define, evolve and improve the role of risk management across its investment activities.
* Put high quality, qualitative thinking about risk factors first, but complement critical thinking and research with sophisticated analytics, wherever useful/possible.
* Further enhance and institutionalize key risk management processes.
* Provide risk reporting to the board, trustees, and the investment committee.
Many of above responsibilities involve some amount of modeling, which in turn requires programming and modeling in Matlab and Excel and familiarity with how to extract data from data providers like Bloomberg, and how to build and improve data warehouse solutions.
The Position
The Risk Analyst will join a team of 5 Risk Management professionals. This position will primarily engage in developing and maintaining risk management tools and systems, risk data, and processes to support investment decisions while controlling key risks. The Quantitative Developer will work closely with multiple members of the risk team to develop, maintain and improve the risk management code base (written mostly in Matlab). The candidate will also take ownership of certain key aspects of the risk management process related to our separate account and direct trading platform. We are looking for a candidate who has demonstrated expertise in good software development practices to help shape the Matlab infrastructure within the organization.
Specific responsibilities will include:
* Development, improvement and maintenance of risk management applications, which are primarily written in Matlab and Excel
- Proactively participate in the design risk management models. Models will encompass market risk models both at a portfolio level and at an instrument level, as well as liquidity and credit risk related models
- Create documentation of code, data flow, and report generation
- Implement risk management models in Matlab and Excel
- Continuously improve the risk management models both from a risk/business perspective and software/coding perspective
* Improve efficiency and robustness of data feeding risk models
- Work with IT group to implement market data feeds and database connectivity
- Contribute to the MIO data warehouse project and proactively contribute by articulating and defining data needs and evaluating and implementing solutions of how to most efficiently import/handle/export data. Currently too much time is spend on data culling, and the hope is the developer can, in collaboration with the IT team and the Risk IT analyst, streamline our infrastructure
* Working with our IT group, establish programming standards and ensure stability and robustness of our risk models and integrity of the data feeds. Develop well documented, tested, and organized set of Matlab routines that can be used by broader team for routine type of calculations
* Provide recommendations and suggestions to Head of Risk with respect to how systems can improve analytical capabilities and business processes
* Teach Matlab and Excel/VBA programming to junior analysts who typically have no or less programming background
* Perform risk analysis and help head of risk manage key exposures. In particular:
- Risk Management the Firm* directed trading strategies. A possible example might be directional FX trades as well as FX volatility and correlation trades
- Determination of worst loss, scenario analysis, liquidity risk, target leverage and dry powder in our separate account and direct trading vehicles
* Assist Head of Risk in the preparation of risk reporting, including for the Board.
The ideal candidate
The ideal candidate will bring:
* Technical skills
- In depth understanding of good software development practices and principles
- Demonstrated experience developing complex models applications in Matlab
- Demonstrated experience in the development of robust, maintainable and extensible software applications
- At least a basic knowledge of database design and queries; ideally knowledge of databases and how to link them to the Matlab functions would be very desirable (e.g., Bloomberg; SQL Server)
- Strong quantitative skills * particularly with respect to applied mathematical concepts in statistics, econometrics, vector math
* Educational Background
- Passed FRM or PRMIA exam would be a plus
- Educational background likely in electrical engineering, computer sciences, mathematics, physics or financial engineering
* Professional experience
- Ideally experience in risk management in a trading environment (hedge fund or bank)
- A proven ability to multi-task and project management experience
- A proven track record in institutionalizing processes and building data and systems to optimally support this would be very desirable
- Knowledge of a range of financial products and experience with a variety of derivatives asset classes; if lacking experience, must have ability (and commitment to work hard) to get up to speed quickly
Leave a Reply
You must be logged in to post a comment.