Quantitative Analyst Fixed Income Portfolio Construction & Optimization
Employment Type: Full-Time
A Global Fixed Income investment manager is looking for an experienced (7+ years) quantitative buy-side portfolio risk analyst who can work with risk and scenario models and who can recommend risk exposure changes to the portfolios for the PM’s. The portfolio invests in global credit, global high yield and global fixed-income securities. The role is part of the fixed income quantitative research team and will focus on portfolio construction, portfolio optimization and will develop stress scenarios across all portfolios to better identify investment opportunities and if portfolios are meeting their risk guidelines. This is not a risk due diligence role. This is a pro-active risk advisory position with daily interaction with portfolio managers on risk sizing, risk allocation, and portfolio construction.
Responsibilities: Portfolio construction – portfolio optimization, statistics, time series analysis, machine learning Work with Portfolio Managers on Trade Ideas and Risk Positioning Work with risk models and scenario analysis models Working with factor models to shock investment portfolios Stress investment portfolios under different scenarios Identify Trade ideas to the Portfolio Managers Experience with databases, meaningful experience with scripting languages (R, Python, Matlab) Identify Risk Exposures Maintain Portfolio Risk Databases Produce Performance Attribution and Risk Analytics Implement Risk Calculators Perform scenario analysis and stress testing of investment portfolios Participate in risk visualization projects
Requirements: Must have 7+ years of working on quantitative global fixed income risk analytics for a major buy-side firm (Global Credit, Global High Yield and Global Fixed Income) Must have risk modeling experience Must have an advanced quantitative degree (Ph.D. preferred) Must have hands-on experience working with large data sets Must have experience working with factor models and scenario risk models Must have experience implementing trading desk and risk reporting applications Must have strong R and SQL programming skills Must have experience working with Bloomberg Port Must have superior communication skills and the ability to work closely with senior management, investors, operations and technology in a collegial and collaborative work culture
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