Quantitative Analyst - Fixed Income Valuation
New York | Stamford
Systematic Investing | Risk Management
Point72 is seeking a Quantitative Analyst to join its Risk & Quantitative Research (RQR) team. We are looking for someone with experience in pricing and valuation, covering STIRT and/or Credit products.
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. 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.
The ideal candidate is a smart and creative problem solver with both an appreciation for the mathematical intricacies of Fixed Income derivative products and passion for designing robust and efficient systems for valuing those products. Communication skills are also important - the candidate must be able articulate his/her ideas effectively to a diverse audience in a fast-paced environment. Responsibilities
- Gather inputs from various stakeholders (portfolio managers, risk managers, P&L controllers) to identify the best methodologies for pricing various STIRT and/or Credit products
- Work closely with the data sourcing team to procure the necessary input data
- Work closely with internal developers and external vendors to build curves and other infrastructure necessary to implement the pricing methodologies
- Evaluate external-vendor models, adapt and improve them, and oversee their deployment
- Drive improvements in stress testing, Value at Risk, and various limit frameworks around concentration and liquidity
- Investigate a portfolio or a strategy to understand the drivers of performance and develop a report that summarizes the risk profile, facilitates efficient risk management, and improves understanding of portfolio construction and investment behavior
- Three or more years of experience at a sell-side firm (banks, brokers, etc.) on a STIRT and/or Credit trading desk
- Strong background in statistics, math, and econometrics
- Ability to manipulate and synthesize large datasets
- High level of proficiency in SQL and quantitative programming (Python, MATLAB, R)
- Intellectual curiosity and depth of skills enabling him/her to perform ad hoc tasks and special projects
- High-energy and relentless personality with a desire to proactively ideate opportunities
- Ability to manage multiple tasks and deadlines in a fast-paced environment
- Excellent interpersonal skills and "emotional intelligence" - we seek a demonstrated ability to build relationships both internally and externally
- Strong communications skills - an ability to clearly and concisely articulate complex ideas to senior management and portfolio managers is critical
- A commitment to the highest ethical standards and to act with professionalism and integrity
Point72 is an Equal Opportunity Employer. Point72 is committed to the principles of equal employment opportunity for all employees and applicants for employment. Point72 complies with applicable, local, state and federal laws on the subject of equal employment opportunity.