Quantitative Risk Modeler- Portfolio Risk Analytics
- Boston, MA, USA
- Permanent, Full time
- Analytic Recruiting Inc.
- 15 Oct 18
Boston Based Investment Manager is looking for a Quantitative Modeler with experience working on derivatives pricing, risk, and hedging models to join the firms Portfolio Risk Analytics team.
- Work directly with the head of Portfolio Risk to build, enhance and update quantitative models and Monte Carlo simulation engines used to price, monitor, analyze, stress and forecast risk in the firm’s portfolio of cross-asset derivative trades and hedges (commodity, equity, FX, interest rate and hybrid securities)
- Provide quantitative analysis of the firm’s portfolio of cross-asset derivatives trades and hedges
- Manage the daily, monthly and quarterly generation of portfolio risk and risk analytics reports
- Support IT teams and Portfolio Managers as the firms is implementing Bloomberg’s Multi-Asset Risk System (MARS) platform
- Work directly with Portfolio Managers to identify and analyze global macro trades
- Must have Quantitative BS or MS from a top school (Computer Science, Finance)
- Must have 3+ years of quantitative derivative modeling experience in the financial markets
- Must have proven experience building models that structure, price, analyze and manage cross-asset derivatives, structured products, and dynamic strategies
- Must have experience building and using Monte Carlo models for cash flow analysis, scenario analysis, and stress testing
- Nice to have: experience with Bloomberg’s DLIB models and Bloomberg’s MARS risk platform
- Must be able to manipulate, extract and analyze large amounts of data from both proprietary and Vendor Risk Systems (Bloomberg MARS) and generate portfolio risk reports
- Must have advanced programming skills (C++ or C#, or Python, R, SQL)
- Must have strong communication skills, the role will interact and work closely with portfolio managers, risk managers, accounting, operations and technology
This is a unique opportunity for someone with experience building quantitative risk models for derivative products and who understands derivative product risk exposure to join a prominent and growing investment firm.
Keywords: C++, Modeler, Quantitative Developer, Derivatives, Monte Carlo Simulation, Forecasting Models, Investment Analytics, Portfolio Risk Analytics, Risk Reporting
Please refer to Job 23230 - and send MS Word attached resume to Jim Geiger, email@example.com