Senior Fixed Income Risk & Attribution Analyst
My client is a leading Asset Manager. Due to organic growth they are looking to add an experienced analyst with a background in Fixed Income analytics to their London team.
Team Overview
There are 5 people in London within the Fixed Income Analytics Team that provide a number of services and lines of support to the fund managers, credit analysts and product management within Fixed Income including but not limited to; Stress Testing and Scenario Analysis, ex ante Risk, VaR reporting, portfolio optimisation and customised Attribution production. The London team also supports investors in the Americas, Asia and Australia.
Overview of role
The role holder will assist and provide innovation in the delivery of the ex post Attribution and ex ante Investment Risk Reporting. The role will also include operational risk responsibilities. Also, the role holder will be expected to assist in any ad-hoc fixed income requests coming into the team.
Key Responsibilities:
• Building custom applications supporting initiatives from CIO and COO of Fixed Income.
• Creating custom reports to assist all Distribution functions in winning new business
• Generate output used as discussion material in the Investment Risk Committee
• Generation of the attribution and risk reports for a pre-defined set of portfolios
• Running Daily FI attribution source data applications / macros. Developing macros in order to enhance data analysis.
• Running daily data integrity / tolerance checks on the source data and reconciliation of analytics / data / classifications / ratings
• Liaising with the FI IT Team, Investors and Third Party vendors on identified issues and implement resolutions.
• Stress testing and user acceptance testing on the Risk and Attribution models or enhancements, as required.
• Delivery of Credit Analyst attribution
• Maintain oversight of delivery of stress test data
• Carry out ad-hoc analysis such as simulations, curve shock analysis,
• Monitoring of Fixed Income Investment Risk and production of papers for Fixed Income Risk Committee.
• Coding and monitoring of segregated client restrictions in FIA report function.
• Provide cover/back up for Fixed Income operational risk work and compliance related questions
• Write technical papers covering innovation and gaps in support of monitoring the alpha generating process.
Essential Skills
• An understanding of Fixed Income Risk modelling/analytics, benchmarks and Attribution models
• A desire to develop fixed income knowledge in conjunction with building models and commercial applications.
• Strong analysis skills – Mathematics, Econometrics, Quantitative Finance
• Attention to detail - Very important
• Diligent - Very important
• Ability to add value to business process
• Ability to pick up new concepts quickly
• Strong communication skills and a consultative approach coupled with a “can-do” attitude
• Strong self-organisation, time management and prioritisation skills
Desirable Skills
• MS office Suite (Excel - macros essential / VBA - desirable), Word, Access/SQL (desirable)
• Risk management system skills (advantageous)
• Index Data vendors (Thompson Datastream), Citigroup Yield Book (advantageous)
• Excellent verbal and written communication skills
• Good problem solving skills
• Ability to operate under pressure and deliver to demanding deadlines
• Ability to deal credibly with business and technical users at all levels of the organisation
If you are interested in this position and genuinely meet the criteria above please get in touch.
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