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发帖数: 2 | 1 If interested, please contact [email protected]
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Fixed Income Risk/Quant Developer/Analyst
Firm Overview:
A 20 year old registered Investment Advisor with offices in New York and
London is looking for junior talent. Currently, the firm has over 250
employees and manages $40 billion in the following strategies: absolute
return funds, levered credit funds, middle market and structured funds.
Job Description:
The Fixed Income Risk/Quant Developer/Analyst should have some background
experience or studies in quantitative analytics and financial risk
management. This person will report to the Lead Quant Developer who runs the
risk and analytics systems. They will work closely with both the
development, business and trading teams to deliver applications, reports,
and various other
data using a proprietary analytics system. One focus will be to improve the
security master and reporting portions of the Risk System, implementing more
robust data practices and more interactive / modern reporting and
visualization options.
The person in this role should have an understanding of all fixed income,
equity and credit derivative, and asset backed asset classes. This person
must be able to communicate with business users on matters regarding
investment analysis, risk management strategies, analytics strategies, and
investment performance at a portfolio or position level.
The technical knowledge and skills that will be used in this position
include:
Microsoft Visual C++
Microsoft COM Programming
Microsoft SQL Server Database Programming
Advanced Mathematics Libraries
Bloomberg Server API and Data License
Microsoft Excel VBA Programming
Tableau visualizations / interactive reporting
Git source control / CPPUnit tests / Jenkins continuous builds
The business knowledge and experience that will be involved in this position
include:
Fixed and floating rate cash flow and yield analysis
Portfolio analysis, including hedging strategies, horizon analysis,
volatility, and return
analysis
P&L analysis across and within portfolios, and for position, lot-
level, and transaction holdings
PIK analysis, asset backed security analysis, and fixed-to-floating
analysis
Asset mix analysis, perform risk and rate sensitivities (dV01, dVdF
, option gamma, etc)
As a developer they will prototype and build analytic models and tools, then
works with the Dev Ops team to deploy these solutions throughout the
organization. Additionally, the developer will be able to make enhancements
to the core analytics engine of the Risk System. |
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