【Jobs】Quantitative Risk Researcher

Posted 5 years ago

Quantitative Risk Researcher 1

A Quantitative Risk Analyst position for Risk & Quantitative Research (RQR) Group. This position works closely with the Portfolio Manager’s to improve risk and investment processes, covering either equities OR fixed income and FX products. This position can be based in NYC or Stamford, CT. The ideal candidate will have experience with equities OR fixed income and FX products, quantitative investment research experience, solid technical/quant skills, and excellent communication skills.

The RQR team plays a vital role in the Firm’s investment process, building a deeply rooted culture of efficient risk management and factful performance attribution. Quantitative Risk Analysts perform research to identify opportunities for improved risk management, investment behavior, and portfolio construction, with the goal of helping the firm deliver superior risk-adjusted performance.  The paramount mission of the team is to protect the Firm from improper levels of exposure and ensure that risk-taking is always efficient and deliberate.

Responsibilities:

  • Investigate portfolios and strategies to understand the drivers of performance and develop reports that summarize the risk profiles and facilitate efficient risk management as well as improve understanding of portfolio construction and investment behavior.
  • Drive improvements in stress testing, Value at Risk and various limit frameworks around concentration and liquidity.
  • Evaluate external-vendor risk models to adapt and improve them (for example, developing and adding custom factors to those models) and oversee the deployment of the models.
  • Conduct research to develop innovative risk management approaches, tools and analytics to help improve performance and better manage risk and deliver those research findings to senior management.
  • Work with developers on the specification, design and development of risk management and performance attribution infrastructure.
  • Most of the above tasks will require analyzing large structured and unstructured data sets such as internal trade data, risk model data, fundamental data, and sentiment data and running simulations and back-tests.
Qualifications:
 
  • 3+ years of experience in a quantitative research or risk management capacity covering fixed-income and/or FX investing
  • Strong background in statistics, math, and econometrics
  • Ability to manipulate and synthesize large data sets
  • High level of proficiency in SQL and quantitative programming (Python, MATLAB, R)
  •  Strong communications skills – an ability to clearly and concisely articulate complex ideas to senior management and portfolio managers is critical

Quantitative Risk Researcher 2

This critical position will provide quantitative analysis to Portfolio Managers, by advising them on how to manage their portfolios based on factor/risk exposures. The ideal candidate will have extensive factor modeling and equities experience, coupled with exceptional quantitative skills. The position can be based in Chicago or New York.

Responsibilities:

  • Work directly with business leadership to make decisions about risk, portfolio construction, and technology that will impact Portfolio Managers.
  • Liaise with Quantitative Research teams and Fundamental Portfolio Managers to apply appropriate quantitative and risk tools to impact strategies
  • Conduct research and statistical analyses in the evaluation of securities including portfolio construction, multi-factor modeling, TCA and Market Impact Modeling
  • Work with Portfolio Managers’ investment decisions with ad hoc statistical analyses leveraging proprietary tools and data and conduct research and automation of discretionary strategies within relevant equity markets

Qualifications:

  • MS or PhD in highly analytical field (mathematics/ statistics, finance/ economics, engineering and/ or computer science) with strong academic record from a top tier university
  • Prior experience in quantitative research/ analytics, trading research, risk research, or portfolio management
  • Demonstrated proficiency in statistical methods and strong analytical problem-solving skills, including but not limited to engineering, statistical modeling, computer programming, or scientific laboratory course work
  • Experience developing factor models
  • Experience with portfolio construction, risk models, and TCA/ transaction cost and market impact models
  • Experience creating and using algorithms to meticulously investigate and work through large data or error checking platforms
  • Hans on experience in R, MATLAB, SQL, and exposure to UNIX OS
  • Leadership skills with the ability to work with fundamental businesses and cross-functional groups to deliver results on aggressive timelines
  • Exemplary communication skills

Please send your resume to info@bcicglobal.org via email with job title

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